计量经济模型论文计量经济学模型论文.pdf

第 27 卷第 9 期统计研究 Vol. 27,No. 9
2010 年 9 月 Statistical Research Sep. 2010
空间经济计量滞后模型 Bootstrap Moran
检验功效的模拟分析*
欧变玲龙志和林光平
内容提要�当误差项不服从独立同分布时,利用 Moran's I 统计量的渐近检验,无法有效判断空间经济计量滞后
模型 2SLS 估计残差间存在空间关系与否。本文采用两种基于残差的 Bootstrap 方法,诊断空间经济计量滞后模型
残差中的空间相关关系。大量 Monte Carlo 模拟结果显示,从功效角度看,无论误差项服从独立同分布与否,与渐近
检验相比,Bootstrap Moran 检验都具有更好的有限样本性质,能够更有效地进行空间相关性检验。尤其是,在样本
量较小和空间衔接密度较高的情况下,Bootstrap Moran 检验的功效显著大于渐近检验。
关键词�空间经济计量滞后模型�Bootstrap Moran 检验�功效�蒙特卡洛
中图分类号�O212 文献标识码�A 文章编号�1002 - 4565�2010�09 - 0091 - 06
Simulation Analysis for Power of Bootstrap Moran Diagnostic Tests
in Spatial Econometric Autoregressive Models
Ou Bianling Long Zhihe Lin Guangping
Abstract�The asymptotic distribution of Moran's I statistic can't effectively test spatial correlation among 2SLS
residuals in spatial econometric autoregressive models with the i. i. d. error. In this paper,we apply two residual-based
Bootstrap methods for diagnostic testing spatial correlation in a spatial econometric autoregressive model. parison with
the theoretical asymptotic test,our extensive Monte Carlo simulation indicates that in view of power whether the errors are
i. i. d or not,bootstrap test for this model has superior finite sample properties,and can more effectively check spatial
dependence than the asymptotic test. Especially,the power of Bootstrap test is more remarkable than that of