收稿日期: 2009-11-04
修回日期: 2010-05-12
网络出版日期: 2010-11-25
基金资助
国家自然科学基金资助项目(70871041)
Simulation Analysis of Power of Bootstrap Tests in Spatial Econometric Models
Received date: 2009-11-04
Revised date: 2010-05-12
Online published: 2010-11-25
Supported by
国家自然科学基金资助项目(70871041)
关键词: Bootstrap检验; Moran’s Ⅰ统计量; 检验功效; Monte Carlo实验
欧变玲 龙志和 林光平 . 空间经济计量模型Bootstrap检验功效的仿真分析[J]. 华南理工大学学报(自然科学版), 2010 , 38(11) : 155 -160 . DOI: 10.3969/j.issn.1000-565X.2010.11.027
When the error does not satisfy the assumption of normal independent distribution,the spatial correlation test based on the asymptotic distribution of Moran's I test statistic suffers weak power.In order to solve this pro-blem,Bootstrap methods are applied to the Moran's Ⅰ statistic for spatial correlation test in the spatial econometric model.The results of Monte Carlo simulation indicate that the Bootstrap test is as effective as(even better than) the asymptotic test when the error satisfies the i.i.d.normal distribution;that the Bootstrap test effectively improves the power of asymptotic test when the error does not satisfy the i.i.d.normal distribution and is heteroscedastic;that both the spatial correlation coefficient and the spatial contiguity structure significantly affect the power of Bootstrap test with small sample scale,especially,under the Queen matrix with dense spatial contiguity and the spatial correlation coefficient less than 0,the power of the Bootstrap test is obviously higher than that of the asymptotic test;and that,when the spatial weight matrix is the Queen matrix,the power curve of the Bootstrap test changes from "√"type to "V" type,with the symmetry being increased and the influence of spatial contiguity structure on the power being weakened.
Key words: Bootstrap test; Moran's Ⅰ statistic; power of test; Monte Carlo experiment
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