作　　者： ; ; (林光平）;

机构地区： 华南理工大学经济与贸易学院

出　　处： 《管理科学学报》 2011年第12期79-86,共8页

摘　　要： 基于空间经济计量滞后模型的2SLS残差,证明误差项服从正态独立同分布时,空间滞后模型Moran检验渐近服从正态分布,提出OLL-Moran检验②.Monte Carlo实验结果显示,与KP-Moran检验相比,提出的OLL-Moran检验的水平扭曲更低、功效更高.OLL-Moran检验具有良好的有限样本性质,能够更有效地检验空间经济计量滞后模型估计残差间的空间关系. In this paper, based on the 2SLS residuals in the spatial econometric autoregressive model, we prove that Moran test is asymptotically normal distribution when the error is independent and identically distributed, and then establish OLL-Moran test. Monte Carlo experiment results show that size distortion of OLL- Moran test in this research is less than that of KP-Moran, and the power of OLL-Moran test is more than that of KP-Moran. OLL-Moran test has good finite sample performance, and could check effectively spatial correlation among 2SLS residuals in the spatial econome.tric autoregressive model.

关 键 词： 空间经济计量滞后模型 检验 估计 蒙特卡洛

领　　域： [经济管理]