图解Bootstrap方法用于空间相关性Moran检验的有效性被引量：3

Graphical Investigation of Bootstrap Moran Tests for Spatial Dependence

下载PDF

导出

摘要因为区域间经济收敛、外商直接投资和知识溢出等领域的空间经济计量研究依赖于空间关系的存在,所以进行空间相关性Moran’s I检验是关键。然而,已有空间相关性Moran’s I检验理论受到众多假设条件限制。利用"名义水平—实际水平"图和"名义水平—功效"图,解析非对称Wild Bootstrap方法用于空间相关性Moran’s I检验的有限样本性质,发现即使模型不满足经典的分布假设条件,与渐近检验相比,Bootstrap方法也能够有效地检验研究对象间的空间相关性。 Spatial econometric analysis of regional economic convergence,FDI and knowledge spillover relies on spatial dependence among regions.Its key is Moran＇s I test for spatial dependence.However,Moran＇s I test theory is restricted by many assumed conditions.In this paper,we apply the residual-based asymmetric wild bootstrap method for testing spatial dependence in a linear regression model.Finite properties of the bootstrap Moran test are investigated using the ＂nominal-size vs.actual-size＂ and ＂nominal-size vs.power＂ plots.These plots show that the bootstrap test for spatial dependence among research objects is effective relative to the asymptotic approach when the classical distributional assumption is not warranted.

作者欧变玲龙志和林光平

机构地区华南理工大学经济与贸易学院波特兰州立大学经济系

出处《统计与信息论坛》 CSSCI 2011年第2期3-8,共6页 Journal of Statistics and Information

基金国家自然科学基金项目<空间经济计量模型中Bootstrap方法有效性研究>(70871041)

关键词检验水平 Moran’s I检验统计量 BOOTSTRAP方法 size of test Moran＇s I test statistic Bootstrap method

分类号 F224.0 [经济管理—国民经济]

引文网络
相关文献

参考文献12

1Anselin L Spatial Econometrics[M]// Baltagi B H.A Companion to Theoretical Econometrics,Oxford:Blackwell Publishing Ltd,2003.
2Anselin L Spatial Econometrics,Methods and Models[M].Dordrecht Netherlands:Kluwer Academic Publishers,1988.
3Moran P A P.Notes on Continuous Stochastic Phenomena[J].Biometrika,1950,37(1/2).
4Cliff A,Ord J.Spatial Process,Models and Application[M].London:Pion,1981.
5龙志和,欧变玲,林光平.空间经济计量模型Bootstrap检验的水平扭曲[J].数量经济技术经济研究,2009,26(1):151-160. 被引量：15
6Efron B Bootstrap Methods:Another Look at the Jacknife[J].Annals of statistics,1979,7(1).
7Park J Y.Bootstrap Unit Root Tests[J].Econometrica,2003,71(6).
8Davidson R,MacKinnon J G.Bootstrap J Tests of Nonnested Linear Regression Models[J].Journal of Econometrics,2002,109(1).
9Warren D E.Bootstrap Methods for Inference with Spatial Panel Data Models[C].New York:The 2nd World Congress of the Spatial Econometrics Association,2008.
10Davidson R,Flachaire E The Wild Bootstrap,Tamed at Last[J].Journal of Econometrics,2008,146(1).

<12 >

二级参考文献19

1Anselin, L. , 1988, Spatial Econometrics : Methods and Models [M], Kluwer, Dordrecht.
2Anselin, L. and A. K. Bera, R. J. G. M. Florax, and M. Yoon, 1996, Simple Diagnostic Tests for Spatial Dependence [J], Regional Sceience and Urban Economics, 26, 77-104.
3Anselin, L. and R. Florax, 1995, Small Sample Properties of Tests for Spatial Dependence in Regression Models : Some Further Results [C], New Directions in Spatial Econometrics. Spinger Verlag, New York, 21-74.
4Chang, Y. , 2004, Bootstrap Unit Root Tests in Panels with Cross-sectional Dependency [J]. Journal of Econometrics, 120, 263-293.
5Cliff, A. and J. Ord, 1973, Spatial Autocorrelation [M], Pion, London,
6Cliff, A. and J. Ord, 1981, Spatial Processes, Models and Applications[M], Pion, London,
7Davidson, R. and J. G. MaeKinnon, 1999, The Size Distortion of Bootstrap Tests [J], Econometric Theory, 15, 361-376.
8Davidson, R. and J.G. MacKinnon, 2002, Bootstrap Tests : How Many Bootstraps[J].Econometric Reviews, 19, 55-68.
9Davison, A.C. , D.V. Hinkley, and G. A. Young, 2003, Recent Developments in Bootstrap Methodology [J], Statistical Science, 18, 141-157.
10Davidson, R. and J.G. MacKinnon, 2006, The Power of Bootstrap and Asymptotic Tests [J], Journal of Econometrics, 133, 421-441.