Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77194
Authors: 
Krämer, Walter
Year of Publication: 
2002
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2002,56
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.
Subjects: 
F-test
size
spatial autocorrelation
Document Type: 
Working Paper

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