Fachbereich: Statistik/Ökonometrie
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Finite Sample Power of Cliff-Ord-Type Tests for Spatial Disturbance Correlation in Linear Regression
The paper considers tests against autocorrelation among the disturbances in linear regression models that can be expressed as ratios of quadratic forms. It shows that such tests are in general not unbiased and that power can even drop to zero for certain regressors and spatial weight matrices. Whether or not this can happen is however easily diagnosed for given regressors and for given spatial weights.
Prof. Dr. rer. pol. Walter Krämer
power, spatial autocorrelation, unbiased tests