固定效应变系数空间自回归面板数据模型的空间效应检验

Testing for Spatial Effects of Fixed Effects Varying Coefficient Spatial Autoregressive Panel Data Models

本文研究固定效应变系数空间自回归面板数据模型的空间效应检验问题,利用基于局部线性方法的profile似然估计技术,构造了广义似然比检验统计量,并提出利用一类基于残差的bootstrap方法求取检验p值,最后数值模拟表明所提方法在有限样本下有较好表现.

Testing for spatial effects in fixed effects varying coefficient spatial autoregressive panel data model is considered.Based on the local-linear method and profile maximum likelihood approach,a generalized likelihood ratio test is proposed,and a residual-based bootstrap procedure is used to derive the p-value of the test.Some simulations are conducted to examine the performance of the proposed procedures and the results show that the proposed methods have good finite sample properties.