On the Identification and Estimation of the Dynamic Simultaneous Equations Model with Autoregressive Disturbances PDF Download
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Author: Michio Hatanaka
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Author: Michio Hatanaka
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Book Description
Author: Kai Yang
Publisher:
ISBN:
Category :
Languages : en
Pages : 196
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Book Description
Databases with cross-sectional interdependent variables have highlighted the need for new data analysis techniques to model interdependence patterns cross-sectional units. Among various models to describe the interdependence, spatial autoregressive models (SAR) have attracted much attention. The theory and practice of single dependent variable SAR have been well established. Although a large number of economic theories may concern about interrelations among several economic variables, econometric studies regarding multivariate and simultaneous equations SAR models are limited. This dissertation is filling in this gap. This dissertation is composed of two chapters, the first chapter focuses on models with cross-sectional data, while the second chapter is on models in panel data which incorporates both intertemporal dynamics and spatial interdependence. The first chapter 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, this chapter also discusses a multivariate spatial autoregressive model that can be treated as a reduced form of the simultaneous equations model. For a multivariate model, we provide identification conditions in terms of the existence of instruments for spatial lags and regularities of the weight matrix structure. Rank conditions and order conditions are provided for identification of structural parameters in the simultaneous equations model. In this chapter we study parameter spaces, the 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. The second chapter introduces multivariate and simultaneous equations dynamic panel spatial autoregressive models in the cases of stability and spatial cointegration. A spatial unit is assumed to depend on its lagged term, and to respond to its neighbours' or peers' behaviour in the current period (spatial lags), and in the previous period (space-time lags). The disturbances in the model are specified with time fixed effects and individual fixed effects in addition to idiosyncratic disturbances. This chapter investigates identification for the model with simultaneous effects, time dynamic effects, and spatial effects. In the estimation of stable and spatially cointegrated models, we investigate QMLE and establish asymptotic properties of the estimator. Convergence rates of parameters may change depending on variables being stable or unstable. We analyze asymptotic biases and suggest bias-corrected estimates. We also study a robust estimation method which can be applied to stable case, spatial cointergration case and some spatial explosion cases. We apply the model to study the grain market integration using a unique historical dataset of rice and wheat prices of 65 cities in 49 years in Yangtze River Basin. The empirical result shows that rice and wheat prices are spatially cointegrated across cities. These results provide evidences of interregional and intertemporal grain market integration and trading network in the eighteenth-century Yangtze River basin.
Author: Dabao Zhang
Publisher:
ISBN:
Category :
Languages : en
Pages : 250
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Book Description
Author: Andrew C. Harvey
Publisher: MIT Press
ISBN: 9780262081894
Category : Business & Economics
Languages : en
Pages : 418
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Book Description
The Econometric Analysis of Time Series focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs.
Author: Zvi Griliches
Publisher: Elsevier
ISBN: 9780444861856
Category : Econometrics
Languages : en
Pages : 804
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Book Description
The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses.
Author: Arnold Zellner
Publisher: Cambridge University Press
ISBN: 9781139453431
Category : Business & Economics
Languages : en
Pages : 736
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Book Description
Bringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.
Author: Thomas B. Fomby
Publisher: Springer Science & Business Media
ISBN: 1441987460
Category : Business & Economics
Languages : en
Pages : 637
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Book Description
This book had its conception in 1975in a friendly tavern near the School of Businessand PublicAdministration at the UniversityofMissouri-Columbia. Two of the authors (Fomby and Hill) were graduate students of the third (Johnson), and were (and are) concerned about teaching econometrics effectively at the graduate level. We decided then to write a book to serve as a comprehensive text for graduate econometrics. Generally, the material included in the bookand itsorganization have been governed by the question, " Howcould the subject be best presented in a graduate class?" For content, this has meant that we have tried to cover " all the bases " and yet have not attempted to be encyclopedic. The intended purpose has also affected the levelofmathematical rigor. We have tended to prove only those results that are basic and/or relatively straightforward. Proofs that would demand inordinant amounts of class time have simply been referenced. The book is intended for a two-semester course and paced to admit more extensive treatment of areas of specific interest to the instructor and students. We have great confidence in the ability, industry, and persistence of graduate students in ferreting out and understanding the omitted proofs and results. In the end, this is how one gains maturity and a fuller appreciation for the subject in any case. It is assumed that the readers of the book will have had an econometric methods course, using texts like J. Johnston's Econometric Methods, 2nd ed.
Author: Guido Imbens
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 60
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Book Description
This paper investigates identification and inference in a nonparametric structural model with instrumental variables and non-additive errors. We allow for non-additive errors because the unobserved heterogeneity in marginal returns that often motivates concerns about endogeneity of choices requires objective functions that are non-additive in observed and unobserved components. We formulate several independence and monotonicity conditions that are sufficient for identification of a number of objects of interest, including the average conditional response, the average structural function, as well as the full structural response function. For inference we propose a two-step series estimator. The first step consists of estimating the conditional distribution of the endogenous regressor given the instrument. In the second step the estimated conditional distribution function is used as a regressor in a nonlinear control function approach. We establish rates of convergence, asymptotic normality, and give a consistent asymptotic variance estimator.
Author: L. G. Godfrey
Publisher: Cambridge University Press
ISBN: 9780521424592
Category : Business & Economics
Languages : en
Pages : 276
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Book Description
Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.
Author: Warren T. Dent
Publisher:
ISBN:
Category :
Languages : en
Pages : 444
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Book Description
