Authors: Krämer, Walter
Title: The Robustness of the F-Test to Spatial Autocorrelation among Regression Disturbances
Language (ISO): en
Abstract: It is shown that the null distribution of the F-test in a linear regression is rather non-robust to spatial autocorrelation among the regression disturbances. In particular, the true size of the test tends to either zero or unity when the spatial autocorrelation coefficient approaches the boundary of the parameter space.
Subject Headings: F-test
size
spatial autocorrelation
URI: http://hdl.handle.net/2003/5200
http://dx.doi.org/10.17877/DE290R-15176
Issue Date: 2002
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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