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10月25日,瞿茜(上海交通大学安泰经管学院)
发布时间:2018-10-22   发布人:zs   点击数:729

报告人:瞿茜,上海交通大学安泰经管学院

时间:10月25日(周四)下午3:10—4:40

地点:博学楼1222教室

题目: Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables

摘要:  The spatial autoregressive (SAR) model is a standard tool for analyzing data with spatial correlation among economic units. Conventional estimation methods rely on the assumption that the spatial weight matrix is strictly exogenous, which would likely be violated in some empirical applications where spatial weights are determined by economic factors. This paper studies the estimation method of a cross-sectional SAR model with spatial weights constructed by bilateral variables like the bilateral trade between regions. The unobserved trade resistance measured by specific spatial unit effects can directly affect the spatial outcome and thus cause endogeneity in the spatial weights. Empirical applications of such models are plenty but their estimation methods have not been justified. By treating trade resistance measures as fixed effects, we establish the consistency and asymptotic normality of the two-stage instrumental variable (2SIV) estimator and investigate their finite sample properties by a Monte Carlo study. We apply our method to an empirical study of total factor productivity (TFP) and find stronger evidence of spillover once we control for the endogeneity from the spatial weight matrix.

个人简介: 瞿茜,上海交通大学安泰经管学院副教授, 2013年毕业于Ohio State University,获得经济学博士学位。主要研究兴趣为理论计量经济学,空间计量经济学,城市和区域经济学等。已在国际一流学术期刊 Journal of Econometrics, Econometric Theory, 和Journal of Business & Economic Statistics 等发表高质量论文数篇。

 

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