Specification Test for Spatial Autoregressive Models
提出一种检验线性空间自回归模型是否设定正确的方法，假设权重矩阵已知，推导了检验的渐近分布并证明一致性，通过蒙特卡洛模拟和两个实证案例（投票数据与经济增长率）验证了方法的有效性。
This article considers a simple test for the correct specification of linear spatial autoregressive models, assuming that the choice of the weight matrix Wn is true. We derive the limiting distributions of the test under the null hypothesis of correct specification and a sequence of local alternatives. We show that the test is free of nuisance parameters asymptotically under the null and prove the consistency of our test. To improve the finite sample performance of our test, we also propose a residual-based wild bootstrap and justify its asymptotic validity. We conduct a small set of Monte Carlo simulations to investigate the finite sample properties of our tests. Finally, we apply the test to two empirical datasets: the vote cast and the economic growth rate. We reject the linear spatial autoregressive model in the vote cast example but fail to reject it in the economic growth rate example. Supplementary materials for this article are available online.