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Efficiency of least squares estimators in the presence of spatial autocorrelation

 

作者: Clifford B. Cordy,   Daniel A. Griffith,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1993)
卷期: Volume 22, issue 4  

页码: 1161-1179

 

ISSN:0361-0918

 

年代: 1993

 

DOI:10.1080/03610919308813147

 

出版商: Marcel Dekker, Inc.

 

关键词: relative efficiency;variance estimation;estimated generalized least squares

 

数据来源: Taylor

 

摘要:

The effect of spatial autocorrelation on inferences made using ordinary least squares estimation is considered. It is found, in some cases, that ordinary least squares estimators provide a reasonable alternative to the estimated generalized least squares estimators recommended in the spatial statistics literature. One of the most serious problems in using ordinary least squares is that the usual variance estimators are severely biased when the errors are correlated. An alternative variance estimator that adjusts for any observed correlation is proposed. The need to take autocorrelation into account in variance estimation negates much of the advantage that ordinary least squares estimation has in terms of computational simplicity

 

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