固定效应空间误差分量模型的空间相关性检验
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引用本文:龙志和,陈青青,林光平.固定效应空间误差分量模型的空间相关性检验[J].经济数学,2011,(4):79-85
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作者单位
龙志和,陈青青,林光平 (1.华南理工大学 经济与贸易学院广州510006
2.波特兰州立大学 经济系美国波特兰97207) 
中文摘要:本文研究固定效应设定下,空间误差分量(Spatial Error Components,SEC)模型的空间相关性边际检验、条件检验和转换检验.Monte Carlo模拟实验证明,转换检验有更小的水平扭曲和优越的检验功效,且不受固定效应大小影响,是经济计量实证中理想的检验统计量;转换检验有限样本性质受空间权重矩阵的选取和N、T影响较小;选取Queen型矩阵或更大的样本量将增大边际检验的功效,但会导致更大的水平扭曲.
中文关键词:误差分量模型  固定效应  空间相关性  Monte Carlo模拟
 
Spatial Correlation Tests of Fixed Effect Spatial Error Components Model
Abstract:We studied spatial correlation tests of fixed effect spatial error components (SEC) model, including marginal tests, conditional tests and transformed tests. Monte Carlo simulation experiments prove that transformed tests have smaller level tortuosity and predominant power; what’s more, they will not be affected by fixed effect, and these advantages make them perfect tests in practical econometric analysis. The small sample performance of transformed tests will be affected slightly by spatial weight matrixes and N\\T. Queen-Type matrixes and larger sample will increase power of marginal tests, but they lead to larger level tortuosity.
keywords:spatial error components model  fixed effect  spatial correlation  Monte Carlo simulation
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