空间计量模型中空间矩阵的误用及其影响

被引：7

作者：

孙洋

机构：

[1] 清华大学经济管理学院

来源：

统计研究 | 2009年 / 26卷 / 06期

关键词：

空间结构; 空间矩阵误用; Monte Carlo实验;

D O I：

10.19343/j.cnki.11-1302/c.2009.06.012

中图分类号：

F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

摘要：

本文通过研究指出,基于常用的空间计量经济学模型嵌套检验方法,我们经常会遇到空间结构关系误用的情况。通过设计一个Monte Carlo实验,本文讨论了空间矩阵误用的概率、影响空间矩阵误用的因素以及空间矩阵误用对空间计量经济学模型估计造成的影响等三个问题。

引用

页码：85 / 91

页数：7

共 10 条

[1] 一种空间矩阵选取的非嵌套检验方法 [J].

孙洋 ;

李子奈 .

数量经济技术经济研究, 2008, (07) :147-159

[2] On the asymptotic distribution of the Moran I test statistic with applications [J].

Kelejian, HH ;

Prucha, IR .

JOURNAL OF ECONOMETRICS, 2001, 104 (02) :219-257

[3] GMM estimation with cross sectional dependence [J].

Conley, TG .

JOURNAL OF ECONOMETRICS, 1999, 92 (01) :1-45

[4] Simple diagnostic tests for spatial dependence [J].

Anselin, L ;

Bera, AK ;

Florax, R ;

Yoon, MJ .

REGIONAL SCIENCE AND URBAN ECONOMICS, 1996, 26 (01) :77-104

[5] Constructing the spatial weights matrix using a local statistic [J].

Getis, A ;

Aldstadt, J .

GEOGRAPHICAL ANALYSIS, 2004, 36 (02) :90-104

[6]

A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances[J] . Harry H. Kelejian,Ingmar R. Prucha.The Journal of Real Estate Finance and Economics . 1998 (1)

[7] ESTIMATION OF REGRESSION-COEFFICIENTS IN THE PRESENCE OF SPATIALLY AUTO-CORRELATED ERROR TERMS [J].

DUBIN, RA .

REVIEW OF ECONOMICS AND STATISTICS, 1988, 70 (03) :466-474

[8]

New Directions in Spatial Econometrics. Florax,R.J.G.M,S Rey. Springer . 1995

[9]

Small sample properties of tests for spatial dependence in regression models: some further results. Anselin,L,Florax,RJGM,Anselin,L,Florax,RJGM. New directions in spatial econometrics. Methodology, tools and applications . 1995

[10]

The method of elimination and substitution in the GMM estimation of mixed regressive,spatial autoregressive models. Lee L F. Journal of Econometrics . 2007

← 1 →