PDF(548 KB)
Power of Moran's I Test for Spatial Dependence in Panel Data Models with Time Varying Spatial Weights Matrices
Bianling OU, Xin ZHAO, Mingxi WANG
系统科学与信息学报(英文) ›› 2015, Vol. 3 ›› Issue (5) : 463-471.
PDF(548 KB)
PDF(548 KB)
Power of Moran's I Test for Spatial Dependence in Panel Data Models with Time Varying Spatial Weights Matrices
Power of Moran's I Test for Spatial Dependence in Panel Data Models with Time Varying Spatial Weights Matrices
The spatial weights matrix is usually specified to be time invariant.However,when it are constructed with economic/socioeconomic distance,trade/demographic/climatic characteristics,these characteristics might be changing over time,and then the spatial weights matrix substantially varies over time.This paper focuses on power of Moran's I test for spatial dependence in panel data models with where spatial weights matrices can be time varying(TV-Moran).Compared with Moran's I test with time invariant spatial weights matrices(TI-Moran),the empirical power of TV-Moran test for spatial dependence are evaluated.Our extensive Monte Carlo simulation results indicate that Moran's I test with misspecified time invariant spatial weights matrices is questionable;Instead,TV-Moran test has shown superiority in higher power,especially for cases with negative spatial correlation parameters and the large time dimension.
The spatial weights matrix is usually specified to be time invariant.However,when it are constructed with economic/socioeconomic distance,trade/demographic/climatic characteristics,these characteristics might be changing over time,and then the spatial weights matrix substantially varies over time.This paper focuses on power of Moran's I test for spatial dependence in panel data models with where spatial weights matrices can be time varying(TV-Moran).Compared with Moran's I test with time invariant spatial weights matrices(TI-Moran),the empirical power of TV-Moran test for spatial dependence are evaluated.Our extensive Monte Carlo simulation results indicate that Moran's I test with misspecified time invariant spatial weights matrices is questionable;Instead,TV-Moran test has shown superiority in higher power,especially for cases with negative spatial correlation parameters and the large time dimension.
time varying spatial weights matrices / Moran's I / spatial dependence / panel data models / Monte Carlo simulations {{custom_keyword}} /
time varying spatial weights matrices / Moran's I / spatial dependence / panel data models / Monte Carlo simulations {{custom_keyword}} /
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This research was financially supported by the National Natural Science Foundation of China(71101143).
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