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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
Journal of Systems Science and Information ›› 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
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}} /
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This research was financially supported by the National Natural Science Foundation of China(71101143).
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