| 线性回归模型Bootstrap LM-Lag检验有效性研究 |
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| 引用本文： | 林怡坚,欧变玲,龙志和.线性回归模型Bootstrap LM-Lag检验有效性研究[J].统计与信息论坛,2011,26(4):14-20. |
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| 作者姓名： | 林怡坚 欧变玲 龙志和 |
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| 作者单位： | 1. 华南理工大学经济与贸易学院,广东广州,510006
2. 中国科学院数学与系统科学研究院,北京,100190 |
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| 摘 要： | 基于OLS估计残差,将Bootstrap方法用于空间滞后相关LM-Lag检验。在不同的误差结构和空间权重矩阵条件下,比较Bootstrap LM-Lag检验和渐近检验的水平扭曲和功效。通过Monte Carlo实验表明,当误差项不服从经典正态分布假设时,LM-Lag渐近检验存在严重的水平扭曲,Bootstrap检验能够有效地校正水平扭曲,并且Bootstrap LM-Lag检验的功效与渐近检验近似;无论误差项是否服从正态分布,从水平扭曲和功效角度看,线性回归模型Bootstrap LM-Lag检验有效。
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| 关 键 词： | 水平扭曲 功效 Bootstrap方法 LM-Lag检验 |
Research on Efficiency of Bootstrap LM-Lag Tests in Linear Regression Models |
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| LIN Yi-jian,OU Bian-ling,LONG Zhi-he.Research on Efficiency of Bootstrap LM-Lag Tests in Linear Regression Models[J].Statistics & Information Tribune,2011,26(4):14-20. |
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| Authors: | LIN Yi-jian OU Bian-ling LONG Zhi-he |
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| Institution: | LIN Yi-jian1,OU Bian-ling2,LONG Zhi-he1(1.School of Economics and Trade,South China University of Technology,Guangzhou 510006,China,2.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China) |
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| Abstract: | In this paper,the authors applies the Bootstrap methods for LM-Lag to test the spatial lag correlation based on the OLS residuals.The size distortion and power of Bootstrap and asymptotic tests are evaluated and compared for various structures of error and spatial weight matrix.For more realistic heterogeneous non-normal distributional models,the asymptotic tests for LM-Lag statistics perform poorly with large size distortion.Instead,Bootstrap tests have shown superiority in smaller size distortion.In addit... |
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| Keywords: | size distortion power Bootstrap method LM-Lag test |
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