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数学与物理
统计学与应用
Vol. 5 No. 2 (June 2016)
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关于空间回归模型残差项分布未知的研究
Research on Spatial Regression Model with Unknown Distribution Residuals
DOI:
10.12677/SA.2016.52009
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被引量
下载: 2,040
浏览: 4,914
作者:
滕德雄
,
张辉国
,
胡锡健
*
:新疆大学,数学与系统科学学院,新疆 乌鲁木齐
关键词:
剖面似然方法
;
残差项分布未知
;
空间回归模型
;
Pro?le Likelihood Method
;
Unknown Distribution Residuals
;
Spatial Regression Model
摘要:
文章分析了剖面似然方法,在残差项分布未知的条件下研究了空间回归模型的回归系数的估计问题,并在模拟实验中与二阶段最小二乘方法做比较,得出剖面似然方法所得到的参数估计更加稳健的结论。
Abstract:
This paper analyzed the profile likelihood method, mainly studied the estimation of regression coefficients under the condition of unknown distribution of residuals of spatial regression model and made some simulation experiments comparing with two-stage least squares method. The simu-lation obtained the conclusions that the parameter estimated by profile likelihood method dem-onstrated more robust.
文章引用:
滕德雄, 张辉国, 胡锡健. 关于空间回归模型残差项分布未知的研究[J]. 统计学与应用, 2016, 5(2): 75-79.
http://dx.doi.org/10.12677/SA.2016.52009
参考文献
[
1
]
Paclinck, J. and Klaassen, L. (1979) Spatial Econometrics. Saxon House, Farnborough.
[
2
]
Cleveland, W.S. and Devlin, S.J. (1988) Locally Weighted Regression: An Approach to Regression Analysis by Local Fitting. Journal of the American Statistical Association, 83, 596-610.
http://dx.doi.org/10.1080/01621459.1988.10478639
[
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]
McMillen, D.P. and McDonald, J.F. (2004) Locally Weighted Maximum-Likelihood Estimation: Monte Carlo Evidence and an Application. In: Anselin, L., Florax, R.J.G.M. and Rey, S.J., Eds., Advances in Spatial Econometrics: Methodology, Tools and Applications, Springer, Heidelberg.
http://dx.doi.org/10.1007/978-3-662-05617-2_10
[
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]
Anselin, L. (1988) Spatial Econometrics: Methods and Models. Kluwer Academic, Dordrecht.
http://dx.doi.org/10.1007/978-94-015-7799-1
[
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]
Parent, O. and LeSage, J.P. (2008) Using the Variance Structure of the Conditional Autoregressive Spatial Specification to Model Knowledge Spillovers. Journal of Applied Econometrics, 23, 235-256.
http://dx.doi.org/10.1002/jae.981
[
6
]
Severini, T.A. and Wong, W.H. (1992) Profile Likelihood and Conditionally Parametric Models. Annals of Statistics, 20, 1768-1802.
http://dx.doi.org/10.1214/aos/1176348889
[
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]
Linton, O., Sperlich, S. and Keilegom, I.V. (2008) Estimation of a Semiparametric Transformation Model. Annals of Statistics, 36, 686-718.
http://dx.doi.org/10.1214/009053607000000848
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