| 空间滞后模型的标准化稳健检验及其功效对比分析 |
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| 引用本文： | 钱争鸣,刘立虎.空间滞后模型的标准化稳健检验及其功效对比分析[J].系统工程理论与实践,2014,34(5):1137-1144. |
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| 作者姓名： | 钱争鸣 刘立虎 |
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| 作者单位： | 厦门大学 经济学院 统计系, 厦门 361005 |
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| 基金项目： | 国家社会科学基金(08BZY076);国家自然科学基金(71073131);教育部重点研究基地重大项目(12JJD790027);福建省自然科学基金重点项目(2009R0074) |
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| 摘 要： | 在误差项分布未知、模型设定偏误以及不同形式空间布局的复杂条件下，本文提出检验空间滞后模型的标准化稳健LM检验方法，并采用Bootstrap法和Monte Carlo法对统计量的渐进性进行分析. 结果表明：采用Bootstrap法和Monte Carlo法的检验功效均优于现有LM检验方法；对于小样本，结合Bootstrap法与本文提出的统计量进行模型设定的检验更可靠；在空间布局为Group规则时，采用本文提出的统计量进行模型设定的检验效果更好.
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| 关 键 词： | 未知分布 空间布局 模型设定 标准化稳健检验 Bootstrap法 |
| 收稿时间： | 2012-06-11 |
Standardized robust LM test for spatial lag model and efficiency analyses |
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| QIAN Zheng-ming,LIU Li-hu.Standardized robust LM test for spatial lag model and efficiency analyses[J].Systems Engineering —Theory & Practice,2014,34(5):1137-1144. |
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| Authors: | QIAN Zheng-ming LIU Li-hu |
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| Institution: | Department of Statistics, The School of Economics, Xiamen University, Xiamen 361005, China |
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| Abstract: | This paper proposes a new robust LM test for spatial lag model that is set when there are unknown error distribution, model misspecification and changes of spatial layout. We analyze the asymptotic properties using Bootstrap and Monte Carlo methods which are found to be superior to the LM method. Moreover, we also find that Bootstrap is most efficacious. It is more reliable to use combined Bootstrap and our proposed testing statistic when sample size is small. It is also more reliable to use our proposed testing statistic when "Group" in spatial layouts is contiguous. |
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| Keywords: | unknown distribution spatial layout model specification standardized robust test Bootstrap method |
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