کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095663 1376477 2017 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models
چکیده انگلیسی
This paper investigates a simultaneous equations spatial autoregressive model which incorporates simultaneity effects, own-variable spatial lags and cross-variable spatial lags as explanatory variables, and allows for correlation between disturbances across equations. In exposition, we also discuss a multivariate spatial autoregressive model that can be treated as a reduced form of the simultaneous equations model. We study parameter spaces, parameter identification, asymptotic properties of the quasi-maximum likelihood estimation, and computational issues. Monte Carlo experiments illustrate the advantages of the QML, broader applicability and efficiency, compared to instrumental variables based estimation methods in the existing literature.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 196, Issue 1, January 2017, Pages 196-214
نویسندگان
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