经济学院2019年第七次学术研讨会

——宏观经济研讨班（四）

主讲人: 张嘉俊 硕士研究生

单位：经济学院

题目: Estimation for spatial dynamic panel data with fixed effects: The case of spatial stability

时间: 2019年5月8日（周三）晚上19:30

地点: 经济学院402会议室

摘要：We investigate the asymptotic properties of QML estimators of the dynamic SAC panel model when both n and T are large under the condition of space system is stable. We find that when the model both with individual and time effects, the estimators of the transformation approach are similar to that of the individual effects only. For direct approach, the QMLEs have the bias of max(O(1/T), O(1/n)). At this point, transformation approach has advantage over the direct approach especially when n is relatively small. BCQMLEs perform better than QMLEs due to reduce the biases. Ignoring the spatial disturbances correlation may cause the estimators biased and statistical inference failed. An empirical illustration shows the merits of our estimators. When the spatial matrix is endogenous and time-varying, a 2SIV estimation method based on the control function method is more accurate than the QML estimation with exogenous and time-varying spatial matrix and the invariant spatial matrix.