The inverse dependency of the estimated variances over the sample size throws a fundamental question on the validity of the usual statistical methodology, since any hypothesis on the value of a coefficient can be tested negatively by increasing the size of the data-set. I suppose that large data-sets are characterized by a concentration of information on homogenous sub-populations, a spatial autocorrelation of the error terms and the covariates may bias the estimation of variances. Using the corrections of variances under spatial autocorrelation, we obtain variances comparable to an estimation on sub-samples (named efficient sub-samples) the sizes of which are sufficient to contain the information which gives rise to similar estimates to those obtained on the whole population. Moreover, the estimation on efficient data-sets does not necessitate the specification of the spatial autocorrelations which are supposed to bias the estimated variances.