等权重空间依赖的不可检验性

NONTESTABILITY OF EQUAL WEIGHTS SPATIAL DEPENDENCE

Econometric Theory · 2011
被引 10
人大 A-ABS 4

中文导读

证明在等权重矩阵的空间误差或空间滞后模型中,任何空间自相关不变检验的功效都等于其显著性水平,且在正态分布下任何在某参数点上功效大于水平的检验都是有偏的。

Abstract

We show that any invariant test for spatial autocorrelation in a spatial error or spatial lag model with equal weights matrix has power equal to size. This result holds under the assumption of an elliptical distribution. Under Gaussianity, we also show that any test whose power is larger than its size for at least one point in the parameter space must be biased.

空间自相关检验等权重矩阵不变检验检验无偏性