• 论文 •

### 时变空间权重矩阵面板数据模型稳健LM检验有效性研究

• 出版日期:2015-10-15 发布日期:2015-10-26

### Validity of Robust LM Tests in Panel Data Models with Time Varying Spatial Weights Matrices

Ou Bianling et al.

• Online:2015-10-15 Published:2015-10-26

Abstract: As an important tool to represent spatial correlation among observations, time invariant spatial weights matrices are generally constructed using geographic distance between observations. However, when spatial correlation depends on economic/social/trade distance, migration and climate condition, spatial weights matrices will be substantially changed over time. This paper proposes robust LM tests in panel data models with time varying spatial weights matrices. Extensive Monte Carlo simulations indicate that in the view of size and power, robust LM tests with mis-specified time invariant spatial weights matrices cause large bias, and robust LM tests with time varying spatial weights matrices could effectively identify types of spatial correlation. The power of robust LM tests with time varying spatial weights matrices is much higher than that with mis-specified time invariant spatial weights matrices, especially for the large cross-sectional dimension and for the large time dimension.