LM tests of spatial dependence based on bootstrap critical values

LM tests of spatial dependence based on bootstrap critical values

To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which becom...

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書目詳細資料
主要作者:	YANG, Zhenlin
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2015
主題:	Asymptotic refinements Bootstrap Edgeworth expansion LM tests Spatial dependence Size Power Local misspecification Heteroskedasticity Wild bootstrap Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1605 https://ink.library.smu.edu.sg/context/soe_research/article/2604/viewcontent/Yang_JOE3102014.pdf
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