Title: Research on Efficiency of Bootstrap LM-Lag Tests in Linear Regression Models
Abstract: In this paper,the authors applies the Bootstrap methods for LM-Lag to test the spatial lag correlation based on the OLS residuals.The size distortion and power of Bootstrap and asymptotic tests are evaluated and compared for various structures of error and spatial weight matrix.For more realistic heterogeneous non-normal distributional models,the asymptotic tests for LM-Lag statistics perform poorly with large size distortion.Instead,Bootstrap tests have shown superiority in smaller size distortion.In addition,the power of Bootstrap testing is approximately equivalent to that of the asymptotic tests.Furthermore,our extensive Monte-Carlo simulation indicates that in view of size distortion and power,Bootstrap LM-Lag testing for linear regression models is an effective approach whether the classical distributional assumption is violated or not.
Publication Year: 2011
Publication Date: 2011-01-01
Language: en
Type: article
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