非均质系数空间模型的估计与推断——以美国房价为例

M. Aquaro, Natalia Bailey, M. Pesaran
{"title":"非均质系数空间模型的估计与推断——以美国房价为例","authors":"M. Aquaro, Natalia Bailey, M. Pesaran","doi":"10.2139/ssrn.3352931","DOIUrl":null,"url":null,"abstract":"This paper considers the estimation and inference of spatial panel data models with heterogeneous spatial lag coefficients, with and without weakly exogenous regressors, and subject to heteroskedastic errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of the spatial coefficients are derived. The QML estimators of individual spatial coefficients, as well as their mean group estimators, are shown to be consistent and asymptotically normal. Small sample properties of the proposed estimators are investigated by Monte Carlo simulations and results are in line with the paper's key theoretical findings even for panels with moderate time dimensions and irrespective of the number of cross section units. A detailed empirical application to U.S. house price changes during the 1975-2014 period shows a significant degree of heterogeneity in spatio-temporal dynamics over the 338 Metropolitan Statistical Areas considered.","PeriodicalId":21047,"journal":{"name":"Real Estate eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"Estimation and Inference for Spatial Models with Heterogeneous Coefficients: An Application to U.S. House Prices\",\"authors\":\"M. Aquaro, Natalia Bailey, M. Pesaran\",\"doi\":\"10.2139/ssrn.3352931\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper considers the estimation and inference of spatial panel data models with heterogeneous spatial lag coefficients, with and without weakly exogenous regressors, and subject to heteroskedastic errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of the spatial coefficients are derived. The QML estimators of individual spatial coefficients, as well as their mean group estimators, are shown to be consistent and asymptotically normal. Small sample properties of the proposed estimators are investigated by Monte Carlo simulations and results are in line with the paper's key theoretical findings even for panels with moderate time dimensions and irrespective of the number of cross section units. A detailed empirical application to U.S. house price changes during the 1975-2014 period shows a significant degree of heterogeneity in spatio-temporal dynamics over the 338 Metropolitan Statistical Areas considered.\",\"PeriodicalId\":21047,\"journal\":{\"name\":\"Real Estate eJournal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-06-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Real Estate eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3352931\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Real Estate eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3352931","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 7

摘要

本文研究了具有异质空间滞后系数、具有或不具有弱外生回归因子、存在异方差误差的空间面板数据模型的估计和推理。提出了一种拟极大似然估计方法,并推导了空间系数的辨识条件。单个空间系数的QML估计量及其平均群估计量是一致的和渐近正态的。通过蒙特卡罗模拟研究了所提出的估计器的小样本性质,结果与论文的关键理论发现一致,即使是中等时间尺寸的面板,无论截面单元的数量如何。对1975-2014年期间美国房价变化的详细实证应用表明,338个大都市统计区在时空动态上存在显著的异质性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Estimation and Inference for Spatial Models with Heterogeneous Coefficients: An Application to U.S. House Prices
This paper considers the estimation and inference of spatial panel data models with heterogeneous spatial lag coefficients, with and without weakly exogenous regressors, and subject to heteroskedastic errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of the spatial coefficients are derived. The QML estimators of individual spatial coefficients, as well as their mean group estimators, are shown to be consistent and asymptotically normal. Small sample properties of the proposed estimators are investigated by Monte Carlo simulations and results are in line with the paper's key theoretical findings even for panels with moderate time dimensions and irrespective of the number of cross section units. A detailed empirical application to U.S. house price changes during the 1975-2014 period shows a significant degree of heterogeneity in spatio-temporal dynamics over the 338 Metropolitan Statistical Areas considered.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信