摘要
将Bootstrap方法从计量经济学、金融学、医学、军事等领域拓展到空间经济计量领域,采用三种基于残差的Bootstrap方法,诊断空间经济计量滞后模型残差中的空间关系。大量Monte Carlo模拟结果显示,从水平扭曲角度看,在标准正态误差和异方差误差情况下,与渐近检验相比,Bootstrap检验具有更好的有限样本性质。
In this paper, bootstrap methods are extended from econometrics, finance,medicine,and military science to spatial econometrics. We apply three residual-based bootstrap methods for diagnostic testing spatial correlation in a spatial econometric autoregressive model. In comparison with the theoretical asymptotic test, our extensive Monte Carlo simulation indicates that in view of size distortion bootstrap Moran diagnostic testing for this model has superior finite sample properties under general model assumptions including heteroscedasticity and normal distribution.
出处
《系统工程》
CSCD
北大核心
2009年第8期69-73,共5页
Systems Engineering
基金
国家自然科学基金资助项目(70871041)
