Bootstrap LM-lag test for spatial dependence in panel data models

DOI

10.2991/iemss-17.2017.138How to use a DOI?

Keywords

Bootstrap, LM-lag, Panel data models, Edgeworth expansion.

Abstract

This paper applies bootstrap methods to LM-lag test for spatial dependence in panel data models, and LM-lag test is asymptotic pivotal. The consistencies of LM tests and their bootstrap versions are proved, and then the asymptotic refinements of bootstrap LM tests are obtained. It shows that the first order asymptotic distribution of LM-lag test converges as , and the convergence rate of bootstrap LM-lag test is . The error made by the bootstrap LM-lag test approximation to the asymptotic distribution is . Compared to asymptotic distribution of LM-lag test, bootstrap LM-lag test gets asymptotic refinements.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Zhihe Long
AU  - BianLing Ou
PY  - 2017/04
DA  - 2017/04
TI  - Bootstrap LM-lag test for spatial dependence in panel data models
BT  - Proceedings of the 2017 International Conference on Innovations in Economic Management and Social Science (IEMSS 2017)
PB  - Atlantis Press
SP  - 691
EP  - 694
SN  - 2352-5428
UR  - https://doi.org/10.2991/iemss-17.2017.138
DO  - 10.2991/iemss-17.2017.138
ID  - Long2017/04
ER  -