Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong

IF 2.3 3区 经济学 Q2 ECONOMICS
Badi H. Baltagi, Peter H. Egger, Michaela Kesina
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Abstract

This paper proposes a Bayesian estimation framework for panel data sets with binary dependent variables where a large number of cross-sectional units are observed over a short period of time and cross-sectional units are interdependent in more than a single network domain. The latter provides for a substantial degree of flexibility towards modeling the decay function in network neighborliness (e.g., by disentangling the importance of rings of neighbors) or towards allowing for several channels of interdependence whose relative importance is unknown ex ante. Besides the flexible parameterization of cross-sectional dependence, the approach allows for simultaneity of the equations. These features should make the approach interesting for applications in a host of contexts involving structural and reduced-form models of multivariate choice problems at micro-, meso-, and macro-economic levels. The paper outlines the estimation approach, illustrates its suitability by simulation examples, and provides an application to study exporting and foreign ownership among potentially interdependent firms in the specialized and transport machinery sector in the province of Guangdong.

高阶网络相互依赖多变量面板概率的贝叶斯估计及其在广东企业全球市场参与中的应用
本文提出了一个具有二元因变量的面板数据集的贝叶斯估计框架,其中在短时间内观察到大量的截面单元,并且截面单元在多个网络域中是相互依赖的。后者提供了相当程度的灵活性,可以模拟网络邻接性中的衰减函数(例如,通过解开邻接环的重要性),或者允许几个相互依赖的渠道,其相对重要性事先未知。除了截面依赖性的灵活参数化外,该方法还允许方程的同时性。这些特征应该使该方法在涉及微观、中观和宏观经济水平的多元选择问题的结构和简化形式模型的大量上下文中的应用变得有趣。本文概述了估算方法,通过仿真实例说明了其适用性,并提供了一个应用程序来研究广东省专业机械和运输机械行业中潜在相互依赖的企业之间的出口和外资所有权。
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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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