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空间滞后模型的稳健检验
id: 2131
Date: 20131014
status: published
Times:
Magazines
Author
张进峰, 方颖
Content
针对现有空间滞后模型检验存在的问题，首先用矩估计方法得到空间误差参数的一致估计量，然后以局部稳健检验方法为理论基础，构造稳健检验统计量。该方法既成功回避了采用极大似然估计法构造检验统计量时遇到的繁琐计算问题，又有效解决了现有局部稳健检验方法适用范围受限的缺陷。同时，相对于直接采用矩估计法构造检验统计量的方法，该方法也有明显优势。 蒙特卡罗模拟的结果支持上述论断。
JEL-Codes
Keywords
空间滞后模型; 极大似然估计; 矩估计; 稳健检验
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