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| 空间经济计量滞后模型Moran检验的渐近分布 | |
| 引用本文： | 欧变玲,龙志和,林光平.空间经济计量滞后模型Moran检验的渐近分布[J].管理科学学报,2011,14(12). |
| 作者姓名： | 欧变玲 龙志和 林光平 |
| 作者单位： | 1. 华南理工大学经济与贸易学院,广州510640;中国科学院数学与系统科学研究院,北京100190 2. 华南理工大学经济与贸易学院,广州,510640 3. 波特兰州立大学经济系,波特兰97207 |
| 基金项目： | 国家自然科学基金资助项目(70871041); 中国博士后科学基金资助项目(20100480492) |
| 摘 要： | 基于空间经济计量滞后模型的2SLS残差,证明误差项服从正态独立同分布时,空间滞后模型Moran检验渐近服从正态分布,提出OLL-Moran检验②.Monte Carlo实验结果显示,与KP-Moran检验相比,提出的OLL-Moran检验的水平扭曲更低、功效更高.OLL-Moran检验具有良好的有限样本性质,能够更有效地检验空间经济计量滞后模型估计残差间的空间关系. |
| 关 键 词： | 空间经济计量滞后模型 OLL-Moran检验 2SLS估计 蒙特卡洛 |
Asymptotic distribution of Moran test in spatial econometric autoregressive models |
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| OU Bian-ling,LONG Zhi-he,LIN Kuang-ping.Asymptotic distribution of Moran test in spatial econometric autoregressive models[J].Journal of Management Sciences in China,2011,14(12). | |
| Authors: | OU Bian-ling LONG Zhi-he LIN Kuang-ping |
| Institution: | OU Bian-ling1,2,LONG Zhi-he1,LIN Kuang-ping31.School of Economy and Trade,South China University of Technology,Guangzhou 510640,China,2.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,3.Department of Economics,Portland State University,Portland,Oregon,97207,USA) |
| Abstract: | In this paper,based on the 2SLS residuals in the spatial econometric autoregressive model,we prove that Moran test is asymptotically normal distribution when the error is independent and identically distributed,and then establish OLL-Moran test.Monte Carlo experiment results show that size distortion of OLL-Moran test in this research is less than that of KP-Moran,and the power of OLL-Moran test is more than that of KP-Moran.OLL-Moran test has good finite sample performance,and could check effectively spati... |
| Keywords: | spatial econometric autoregressive model OLL-Moran test 2SLS estimation Monte Carlo |
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