Best linear and quadratic moments for spatial econometric models with an application to spatial interdependence patterns of employment growth in US counties

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2024-03-16 DOI:10.1002/jae.3046

Fei Jin, Lung-fei Lee, Kai Yang

引用次数: 0

Abstract

We provide a novel analytic procedure to construct best linear and quadratic moments of the generalized method of moments estimation for a large class of cross-sectional network and spatial econometric models. These moments generate an estimator that is asymptotically more efficient than the quasi-maximum likelihood estimator when the disturbances follow a non-normal and unknown distribution. We apply this procedure to a high-order spatial autoregressive model with spatial errors, where the disturbances are heteroskedastic. Two normality tests of disturbances are developed. We apply the model to employment data in US counties, which demonstrates spatial interdependence patterns of regional employment growth.

查看原文本刊更多论文

空间计量经济模型的最佳线性和二次矩，应用于美国各县就业增长的空间相互依存模式

摘要我们提供了一种新颖的分析程序，用于构建一大类横截面网络和空间计量经济模型的广义矩估计法的最佳线性矩和二次矩。当扰动服从非正态分布和未知分布时，这些矩生成的估计器在渐近上比准极大似然估计器更有效。我们将这一程序应用于具有空间误差的高阶空间自回归模型，其中的扰动是异方差的。我们建立了两个扰动的正态性检验。我们将该模型应用于美国各县的就业数据，结果显示了区域就业增长的空间相互依存模式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

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.