Unified M-estimation of matrix exponential spatial dynamic panel specification

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Reviews Pub Date : 2022-05-14 DOI:10.1080/07474938.2022.2039494

Ye Yang

引用次数: 0

Abstract

Abstract In this paper, a unified M-estimation method in Yang (2018) is extended to the matrix exponential spatial dynamic panel specification (MESDPS) with fixed effects in short panels. Similar to the STLE model which includes the spatial lag effect, the space-time effect and the spatial error effect in Yang (2018), the quasi-maximum likelihood (QML) estimation for MESDPS also has the initial condition specification problem. The initial-condition free M-estimator in this paper solves this problem and is proved to be consistent and asymptotically normal. An outer product of martingale difference (OPMD) estimator for the variance-covariance (VC) matrix of the M-estimator is also derived and proved to be consistent. The finite sample property of the M-estimator is studied through an extensive Monte Carlo study. The method is applied to US outward FDI data to show its validity.

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矩阵指数空间动态面板规格的统一m估计

摘要本文将Yang(2018)的统一m估计方法推广到具有固定效应的矩阵指数空间动态面板规格(MESDPS)。与Yang(2018)中包含空间滞后效应、时空效应和空间误差效应的STLE模型类似，MESDPS的拟极大似然(QML)估计也存在初始条件规范问题。本文提出的无初始条件的m估计量解决了这一问题，并证明了其一致性和渐近正态性。对m -估计量的方差-协方差(VC)矩阵给出了鞅差分估计量的外积，并证明了其一致性。通过广泛的蒙特卡罗研究，研究了m估计量的有限样本性质。通过对美国对外直接投资数据的分析，验证了该方法的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometric Reviews 管理科学-数学跨学科应用

CiteScore

1.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.