Essays On Spatial Panel Data Models With Common Factors
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Essays On Spatial Panel Data Models With Common Factors
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Author : Wei Shi
language : en
Publisher:
Release Date : 2016
Essays On Spatial Panel Data Models With Common Factors written by Wei Shi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
My dissertation research addresses issues in spatial panel data models, which study the interactions of economic units across space and time. Individuals interact with their neighbors and the outcomes are interdependent. The strength of the interaction depends on the distance between the individuals, which can be based on geography or constructed from economic theory. Accounting for spatial interactions allows one to quantify both the direct effect of a variable and its indirect effect through impacting neighbors. However, two issues often arise. First, spatial dependence can be alternatively generated from common unobserved factors (e.g. economy-wide shocks) where neighbors have similar responses. Second, the distance between economic units can be endogenous, and this will in fact be the case if the distance is constructed from variables that correlate with disturbances in the outcomes. The first chapter studies the estimation of a dynamic spatial panel data model with interactive individual and time effects with large n and T. The model has a rich spatial structure including contemporaneous spatial interaction and spatial heterogeneity. Dynamic features include individual time lag and spatial diffusion. In a standard two way fixed effects panel regression model, the unobservables contain an individual specific but time invariant component, and a component that is time variant but common across individuals. We generalize this model by allowing the interaction between time effects and individual effects. This chapter provides a tool for empirical researchers to guard against attributing correlated responses to common time effects as spatial effects. The interactive effects are treated as parameters, so as to allow correlations between the interactive effects and the regressors. We consider a quasi-maximum likelihood estimation and show estimator consistency and characterize its asymptotic distribution. The Monte Carlo experiment shows that the estimator performs well and the proposed bias correction is effective. The second chapter proposes a unified approach to model endogenous spatial dependences while accounting for common factors. The spatial weights matrices are constructed from variables that may correlate with the disturbances in the outcomes. We make minimal assumptions on the distributions of the factors and follow a fixed effects approach. We provide conditions under which the quasi-maximum likelihood estimator is consistent and asymptotically normal, under the asymptotics where both the cross section and time dimensions become large. The limiting distribution is normal but may not be centered for the estimates of the spatial interaction coefficient and the variances. An analytical bias correction is proposed to improve the inference. The Monte Carlo simulations demonstrate good finite sample properties of the bias corrected estimator. We illustrate the empirical relevance of the theory by applying the method to analyze the effect of house price dynamics on reverse mortgage origination rates.
Essays On Spatial Dynamic Panel Data Model Theories And Applications
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Author : Jihai Yu
language : en
Publisher:
Release Date : 2007
Essays On Spatial Dynamic Panel Data Model Theories And Applications written by Jihai Yu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
This dissertation is composed of three papers about the theories and application of spatial dynamic panel data model with fixed effects. The first paper investigates the asymptotic properties of quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both the number of individuals n and the number of time periods T are large. We consider the case where T is asymptotically large relative to n, the case where T is asymptotically proportional to n, and the case where n is asymptotically large relative to T. In the case where T is asymptotically large relative to n, the estimators are nT consistent and asymptotically normal, with the limit distribution centered around 0. When n is asymptotically proportional to T, the estimators are nT consistent and asymptotically normal, but the limit distribution is not centered around 0; and when n is large relative to T, the estimators are consistent with rate T, and have a degenerate limit distribution. We also propose a bias correction for our estimators. We show that when T grows faster than n1/3, the correction will asymptotically eliminate the bias and yield a centered confidence interval. The second paper covers a nonstationary case where there are units roots in the data generating process. When not all the roots in the DGP are unity, the estimators rate of convergence will be the same as the stationary case, and the estimators can be asymptotically normal. But for the estimators' asymptotic variance matrix, it will be driven by the nonstationary component into a singular matrix. Consequently, a linear combination of the spatial and dynamic effects can converge with a higher rate. We also propose a bias correction for our estimators. We show that when T grows faster than n 1/3, the correction will asymptotically eliminate the bias and yield a centered confidence interval. In the third paper, a spatial dynamic panel data approach is proposed to study growth convergence in the U.S. economy. In neoclassical model, countries are assumed to be independent from each other, which does not hold in the real world. We introduce technological spillovers and factor mobility into the neoclassical framework, showing that the convergence rate is higher and there is spatial correlation. Exploiting annual data on personal state income spanning period 1961-2000 for the 48 contiguous states, we obtain empirical results consistent with the model prediction.
Estimation Of Spatial Panels
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Author : Lung-fei Lee
language : en
Publisher: Now Publishers Inc
Release Date : 2011
Estimation Of Spatial Panels written by Lung-fei Lee and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
Estimation of Spatial Panels provides some recent developments on the specification and estimation of spatial panel models.
Essays In Spatial Panel Econometrics
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Author : Silvia Palombi
language : en
Publisher:
Release Date : 2015
Essays In Spatial Panel Econometrics written by Silvia Palombi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
The third essay (Chapter 4) is an extension of the previous chapter, and provides conclusive evidence by implementing a more formal and rigorous approach to testing a null model against a non-nested alternative, i.e. the J-test. This is a well-established technique for choosing among non-nested rivals, and in this chapter I develop a version of the test for specifications (SARAR-RE models) which feature spatially correlated error components, thus accounting for interregional heterogeneity via random effects (also subjected, like the disturbances, to a spatially autoregressive process), as well as a spatial lag of the dependent variable and additional, potentially endogenous regressors. This chapter thus makes a valuable addition to the literature on non-nested hypotheses testing in the spatial panel context by extending the toolkit to random-effects models. I also provide Monte Carlo evidence showing that there are distributional issues associated with the asymptotic use of the J-test in small-to-medium samples, so another novelty of this chapter is the implementation of a Bootstrap scheme to construct a valid null reference distribution in finite samples when the null and alternative are SARAR-RE models estimated by S2SLS / GMM. In terms of the empirical application, bootstrap J-test results confirm the bootstrap ANM results from the previous chapter that the wage curve rejects NEG theory while UE theory is equally successful. Another finding, from the methodological angle, is that the bootstrap J-test is a reliable and effective procedure for correcting asymptotic reference critical values and distinguishing between competing hypotheses in all cases where one is not a reduced form of the other.The fourth and final essay (Chapter 5) is one of few to reconsider from a spatial panel econometric perspective an economic relationship - the 'empirical law of economics' known as Okun's Law - which has been traditionally considered at macro level with no attention for sub-national phenomena; it is the first to do so for Great Britain, looking at the 128 British NUTS3 regions over the period 1985-2011. By means of specialist techniques recently devised for spatial data, I show that regional interdependencies have a prominent role in the unemployment-output relationship; the total Okun's Law effect itself is close to the 'law' of -0.30 but more than two thirds of this are accounted for by the impact on local unemployment rate of real output variations in areas nearby, a finding suggesting that policy intervention at both national and regional level on a country's labour market can be more effective if spatial effects are factored into the analysis and modelled / tested explicitly.
Essays On Panel Data And Spatial Models
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Author : Dong Li
language : en
Publisher:
Release Date : 2000
Essays On Panel Data And Spatial Models written by Dong Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Essays In Honor Of Jerry Hausman
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Author : Badi H. Baltagi
language : en
Publisher: Emerald Group Publishing
Release Date : 2012-12-17
Essays In Honor Of Jerry Hausman written by Badi H. Baltagi and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-17 with Business & Economics categories.
Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.
Essays In Honor Of M Hashem Pesaran
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Author : Alexander Chudik
language : en
Publisher: Emerald Group Publishing
Release Date : 2022-01-18
Essays In Honor Of M Hashem Pesaran written by Alexander Chudik and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-18 with Business & Economics categories.
The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
Essays In Honor Of Cheng Hsiao
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Author : Dek Terrell
language : en
Publisher: Emerald Group Publishing
Release Date : 2020-04-15
Essays In Honor Of Cheng Hsiao written by Dek Terrell and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-15 with Business & Economics categories.
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Simultaneous Spatial Panel Data Models With Common Shocks
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Author : Lina Lu
language : en
Publisher:
Release Date : 2017
Simultaneous Spatial Panel Data Models With Common Shocks written by Lina Lu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
I consider a simultaneous spatial panel data model, jointly modeling three effects: simultaneous effects, spatial effects and common shock effects. This joint modeling and consideration of cross-sectional heteroskedasticity result in a large number of incidental parameters. I propose two estimation approaches, a quasi-maximum likelihood (QML) method and an iterative generalized principal components (IGPC) method. I develop full inferential theories for the estimation approaches and study the trade-off between the model specifications and their respective asymptotic properties. I further investigate the finite sample performance of both methods using Monte Carlo simulations. I find that both methods perform well and that the simulation results corroborate the inferential theories. Some extensions of the model are considered. Finally, I apply the model to analyze the relationship between trade and GDP using a panel data over time and across countries.
Essays On Spatial Panel Econometrics
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Author : Karen Miranda
language : en
Publisher:
Release Date : 2018
Essays On Spatial Panel Econometrics written by Karen Miranda and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Aquesta tesi proposa una metodologia per identificar i estimar externalitats espacials associades als efectes inviduals en models per a dades de panell. La clau d'aquest nou enfocament és l'ús d'una especificació d'efectes aleatoris correlacionats. Distingir entre els efectes individuals i les seves externalitats espacials pot proporcionar informació interessant sobre com les característiques no observades dels territoris veïns afecten la producció d'un cert territori i, viceversa, com les característiques no observades d'un territori afecten la producció dels territoris veïns. En els models de creixement, per exemple, es pot obtenir una mesura de la productivitat no observada de les regions a partir de l'estimació dels efectes individuals Islam (1995). Però com afecta el contagi espacial de la productivitat no observada d'aquestes regions al seu creixement econòmic? Aquesta tesi analitza diversos models economètrics i amb l'objectiu d'identificar i estimar aquest tipus d'efectes. A més, cada capítol proporciona evidència empírica relacionada. En particular, aquesta tesi proposa l'ús d'un model d'efectes aleatoris correlacionats (Mundlak, 1978; Chamberlain, 1982) per analitzar les externalitats espacials dels efectes individuals. En aquest sentit, els models analitzats en aquesta tesi tenen una estructura de l'error om els components estan ponderats espacialment, de manera molt similar a la del treball de Kapoor et al. (2007). En particular, el segon capítol considera una especificació d'efectes aleatoris correlacionats en un model de dades de panell espacial estàtic i el tercer ho fa en un model de dades de panell dinàmic espacial. El quart capítol fa ús de les troballes dels capítols anteriors en un model de creixement amb externalitats espacials.