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分布未知情况下的空间滞后模型检验
id: 2132
Date: 20131014
status: published
Times:
Magazines
2011年第4期
Author
张进峰
Content
在扰动项分布未知的情况下,直接采用传统的空间模型检验方法是存在问题的。针对传统空间模型检验方法的不足,本文以Lee 和Yu(2010)的研究为基础,采用Lee 和Liu(2006)提出的最优矩条件,构造分布未知情况下空间滞后模型的稳健检验统计量。这种检验方法仅需参数的一致估计量,便于计算。蒙特卡罗结果表明,在小样本情况下,本文提出的检验有良好的性质,且明显优于Saavedra(2003)提出的检验。
JEL-Codes
F222
Keywords
空间滞后模型;MLE 估计;GMM 估计;C (α ) 检验
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