空间经济计量滞后模型Moran检验的渐近分布

摘要

基于空间经济计量滞后模型的2SLS残差,证明误差项服从正态独立同分布时,空间滞后模型Moran检验渐近服从正态分布,提出OLL-Moran检验②.Monte Carlo实验结果显示,与KP-Moran检验相比,提出的OLL-Moran检验的水平扭曲更低、功效更高.OLL-Moran检验具有良好的有限样本性质,能够更有效地检验空间经济计量滞后模型估计残差间的空间关系.%In this paper, based on the 2SLS residuals in the spatial econometric autoregressive model, we prove that Moran test is asymptotically normal distribution when the error is independent and identically distributed , and then establish OLL-Moran test. Monte Carlo experiment results show that size distortion of OLL-Moran test in this research is less than that of KP-Moran, and the power of OLL-Moran test is more than that of KP-Moran. OLL-Moran test has good finite sample performance, and could check effectively spatial correlation among 2SLS residuals in the spatial econometric autoregressive model.