The robustness of the F-test to spatial autocorrelation among regression disturbances

Authors

  • Walter Kramer Universität Dortmund

DOI:

https://doi.org/10.6092/issn.1973-2201/362

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.

Downloads

Published

2007-10-19

How to Cite

Kramer, W. (2003). The robustness of the F-test to spatial autocorrelation among regression disturbances. Statistica, 63(3), 435–440. https://doi.org/10.6092/issn.1973-2201/362

Issue

Section

Articles