Robust estimation for dynamic spatial autoregression models with nearly optimal rates

IF 9.9 3区 经济学 Q1 ECONOMICS
Yin Lu , Chunbai Tao , Di Wang , Gazi Salah Uddin , Libo Wu , Xuening Zhu
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引用次数: 0

Abstract

Spatial autoregression has been extensively studied in various applications, yet its robust estimation methods have received limited attention. In this work, we introduce two dynamic spatial autoregression (DSAR) models aimed at capturing temporal trends and depicting the asymmetric network effects of the units. For both DSAR models, we propose a truncated Yule–Walker estimation method, which is tailored to achieve robust estimation in the presence of heavy-tailed data. Additionally, we extend this robust estimation procedure to a constrained estimation framework using the Dantzig selector, enabling the identification of sparse network effects observed in real-world applications. Theoretically, the minimax optimality of proposed estimators is derived under certain conditions on the weighting matrix. Empirical studies, including an analysis of financial contagion in the Chinese stock market and the dynamics of live streaming popularity, demonstrate the practical efficacy of our methods.
具有接近最优速率的动态空间自回归模型的鲁棒估计
空间自回归在各种应用中得到了广泛的研究,但其鲁棒估计方法受到的关注有限。在这项工作中,我们引入了两个动态空间自回归(DSAR)模型,旨在捕捉时间趋势并描述单元的不对称网络效应。对于这两种DSAR模型,我们提出了一种截断Yule-Walker估计方法,该方法可以在存在重尾数据的情况下实现鲁棒估计。此外,我们使用Dantzig选择器将这种鲁棒估计过程扩展到约束估计框架,从而能够识别在实际应用中观察到的稀疏网络效应。理论上,在一定的加权矩阵条件下,得到了所提估计量的极大极小最优性。实证研究,包括对中国股市金融传染和直播流行动态的分析,证明了我们的方法的实际有效性。
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来源期刊
Journal of Econometrics
Journal of Econometrics 社会科学-数学跨学科应用
CiteScore
8.60
自引率
1.60%
发文量
220
审稿时长
3-8 weeks
期刊介绍: The Journal of Econometrics serves as an outlet for important, high quality, new research in both theoretical and applied econometrics. The scope of the Journal includes papers dealing with identification, estimation, testing, decision, and prediction issues encountered in economic research. Classical Bayesian statistics, and machine learning methods, are decidedly within the range of the Journal''s interests. The Annals of Econometrics is a supplement to the Journal of Econometrics.
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