A Generalized Spatial Panel Data Model with Random Effects
提出一个包含随机效应和一阶空间自相关残差的广义面板数据模型，该模型可涵盖两种已有模型，并推导出三个拉格朗日乘子和似然比检验来检验这些受限模型，蒙特卡洛结果表明检验在小样本中也有较高功效。
This paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988 Anselin , L. ( 1988 ). Spatial Econometrics: Methods and Models . Dordrecht : Kluwer Academic Publishers .[Crossref] , [Google Scholar]) book and the second one by Kapoor et al. (2007 Kapoor , M. , Kelejian , H. H. , Prucha , I. R. ( 2007 ). Panel data models with spatially correlated error components . Journal of Econometrics 140 ( 1 ): 97 – 130 .[Crossref], [Web of Science ®] , [Google Scholar]). Our encompassing specification allows us to test for these models as restricted specifications. In particular, we derive three Lagrange multiplier (LM) and likelihood ration (LR) tests that restrict our generalized model to obtain (i) the Anselin model, (ii) the Kapoor, Kelejian, and Prucha model, and (iii) the simple random effects model that ignores the spatial correlation in the residuals. For two of these three tests, we obtain closed form solutions and we derive their large sample distributions. Our Monte Carlo results show that the suggested tests are powerful in testing for these restricted specifications even in small and medium sized samples.