两类统计模型检验

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1、ABSTRACTInrecentyears，thesemi-parametriceconometricsandspatialeconometricsaseconometricforefronthavebeenresearcheddeeplyinthetheoryandapplications．Additivemodelextendedasageneralnon—parametricregressionmodelhasbeenpaidtheattentionbytheeconometriciansandstatisticians．butthereisnostudya

2、bouttestingserialcorrelationforthemodel．However,inpractice，especiallywhenanalyzingthetimeseriesdata，testingserialcorrelationofthemodelerrorisaverybasicissueofserialcorrelationinresidualerrors，becausetheestimatescalculatedthroughtheleastsquaresmethodcannotbeeffective，eveninsomecasesare

3、mismatched．Thispaperwillstudytheserialcorrelationoftheadditivemodel，wewilldeduceanF-teststatisticandstudyitsasymptoticproperties．WewillalsoverifythevalidityoftheF—teststatisticbynumericalsimulation．Thesimulationresultsshowthatthistestingstatisticissuitedforthelargesamples．Spatialpanel

4、datamo、delistheextensionofthepaneldatamodelandspatialdatamodel，thismodelisoftenusedinpractice，andthereforeitisverynecessarytotestspatialheterogeneityforspatialpaneldatamodel．BasedontheLagrangemultipliermethods，wededucetheparametersignificancetestingstatisticforthetwo—wayspatialerrorco

5、rrelationrandomeffectspaneldatamodel，respectively,wededucetheLagrangeteststatisticsontheassumptionthatoneorbotheffectsexist．Wewillprovideatestingspatialheterogeneitymethodforspatialpaneldatamodel．Theresultsshowthatthestatisticalinferencebasedonthelikelihoodfunction，thoughdonotneedtoes

6、timatethevariance，theasymptoticdistributionofthestatisticisnoteasytobeproved，whendeducingthetestingstatisticsinhighdimensions．KEYWORDS：Additivemodel，Spatialpaneldatamodel，Serialcorrelationtest，Spatialheterogeneitytest，TheLagrangemultipliertestII㈣们㈣8吣7㈣3㈣纠㈣Y目录第一章引言⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯

7、⋯⋯⋯．11．1计量经济模型中的序列相关检验和异质性检验⋯⋯⋯⋯⋯⋯．11．1．1序列自相关产生的原因和检验⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．11．1．2异质性检验⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．21．2模型介绍⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯41．2．1可加模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．41．2．2空间面板数据模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．51．3拉格朗日乘子检验方法简介⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．61．4本文要做的工作与文章结构⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．7第二章可加模型的序列相关检验⋯⋯⋯

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