More on the F-test under nonspherical disturbances
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Date
2008-11-26T14:47:41Z
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Abstract
We show that the F-test can be both liberal and conservative in the
context of a particular type of nonspherical behaviour induced by spatial
autocorrelation, and that the conservative variant is more likely to occur for
extreme values of the spatial autocorrelation parameter. In particular, it will wipe out the progressive one as the sample size increases.
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Keywords
F-test, Spatial autocorrelation