用于检验空间依赖性的双倍长度人工回归

DOUBLE LENGTH ARTIFICIAL REGRESSIONS FOR TESTING SPATIAL DEPENDENCE

Econometric Reviews · 2001
被引 35 · 同刊同年前 9%
人大 A-ABS 3

中文导读

推导了两种简单的双倍长度人工回归(DLR)来检验空间依赖,分别针对空间滞后依赖和空间误差依赖,仅需受限模型的最小二乘残差,计算简便,并通过蒙特卡洛实验验证了小样本表现。

Abstract

This paper derives two simple artificial Double Length Regressions (DLR) to test for spatial dependence. The first DLR tests for spatial lag dependence while the second DLR tests for spatial error dependence. Both artificial regressions utilize only least squares residuals of the restricted model and are therefore easy to compute. These tests are illustrated using two simple examples. In addition, Monte Carlo experiments are performed to study the small sample performance of these tests. As expected, these DLR tests have similar performance to their corresponding LM counterparts.

空间依赖检验双倍长度人工回归空间滞后依赖空间误差依赖