More on the F-test under Nonspherical Disturbances
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.
KeywordsSpatial Autocorrelation Linear Regression Model Null Distribution Conservative Variant Rejection Probability
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