Bootstrap LM tests for higher-order spatial effects in spatial linear regression models

• المؤلف الرئيسي: YANG, Zhenlin
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2018
• الموضوعات: Asymptotic pivot; Bootstrap; Heteroskedasticity; LM test; Spatial lag; Spatial error; Matrix exponential; Wild bootstrap; Bootstrap critical values; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2336; https://ink.library.smu.edu.sg/context/soe_research/article/3335/viewcontent/Yang2018EE_av.pdf

This paper first extends the methodology of Yang (J Econom 185:33-59, 2015) to allow for non-normality and/or unknown heteroskedasticity in obtaining asymptotically refined critical values for the LM-type tests through bootstrap. Bootstrap refinements in critical values require the LM test statistic...