空间动态面板模型的时间滞后效应检验

发布时间：2018-07-28 11:06

【摘要】：空间面板数据模型由于考虑了经济变量间的空间相关性,其优势日益凸显,已成为计量经济学的热点研究领域。将空间相关性与动态模式同时扩展到面板模型中的空间动态面板模型,不仅考虑了经济变量之间的空间相关性,还考虑了时间上的滞后性,是空间面板模型的发展,增强了模型的解释力。考虑一种带固定个体效应、因变量的时间滞后项、因变量与随机误差项均存在空间自相关性的空间动态面板回归模型,提出了在个体数n和时间数T都很大,且T相对地大于n的条件下空间动态面板模型中时间滞后效应存在性的LM和LR检验方法,其检验方法包括联合检验、一维及二维的边际和条件检验;推导出这些检验在零假设下的极限分布;其极限分布均服从卡方分布。通过模拟试验研究检验统计量的小样本性质,结果显示其具有优良的统计性质。
[Abstract]:Spatial panel data model has become a hot research field in econometrics due to its advantages because of the spatial correlation among economic variables. The spatial dynamic panel model, which extends spatial correlation and dynamic mode to the panel model at the same time, not only takes into account the spatial correlation among economic variables, but also considers the lag in time, which is the development of spatial panel model. It enhances the explanatory power of the model. In this paper, we consider a spatial dynamic panel regression model with fixed individual effect, dependent variable time lag term, dependent variable and random error term with spatial autocorrelation. It is proposed that the number of individuals n and time number T are very large. The LM and LR test methods for the existence of time-lag effect in spatial dynamic panel model with T being larger than n include joint test, one-dimensional and two-dimensional marginal and conditional tests. The limit distribution of these tests under zero hypothesis is derived. The small sample property of test statistic is studied by simulation test. The result shows that it has good statistical property.
【作者单位】：重庆工商大学数学与统计学院;
【基金】：重庆市教委科技项目《人口老龄化背景下的社会养老保险隐性债务精算模型与应用研究》(KJ1400619)
【分类号】：O212.1;F224.0

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