动态空间自回归固定效应面板模型的估计与应用  

Quasi-maximum likelihood estimations and applications for spatial dynamic autoregressive panel model with fixed effects

作　　者：周少甫[1] 张嘉俊 ZHOU Shaofu;ZHANG Jiajun(School of Economics,Huazhong University of Science and Technology,Wuhan 430074,China)

机构地区：[1]华中科技大学经济学院,武汉430074

出　　处：《系统工程理论与实践》2021年第1期45-57,共13页Systems Engineering-Theory & Practice

基　　金：中央高校基本科研业务费(2019WKYXZX020)。

摘　　要：文章首次探寻了在空间系统稳定以及n和T均为很大的情况下,DSAC固定效应面板模型的拟极大似然估计量的渐近性质.研究发现:运用转换法估计时,在一般情况下得到拟极大似然估计量存在O(1/T)阶的偏差,当(n-1)/T→0时,转换法得到的估计量以√(n-1)/T的速度一致地收敛于真值,当(n-1)/T→∞时,估计量以T的速度收敛至一个退化分布;用直接法估计时,在一般情况下得到的估计量会产生max(O(1/T),O(1/n))阶的偏差,当n/T→0和n/T→∞时,估计量分别以n和T的速度收敛至不同的退化分布;偏差修正估计量比拟极大似然估计量具有更好的有限样本性质:当n/T^(3)→0时,转换法得到的偏差修正估计量以√(n-1)/T1的速度一致地收敛于真值,当n/T^(3)和n^(3)/T同时趋于0时,直接法得到的偏差修正估计量以√nT的速度一致地收敛于真值;直接法可以一致地估计个体效应和时间效应而转换法不能;当扰动项存在空间相关结构时DSAC固定效应面板模型的有限样本性质优于DSAR面板模型;最后用一个实证研究的例子表明了DSAC模型的应用价值.The paper investigates the asymptotic properties of quasi-maximum likelihood estimators of the DSAC panel model with fixed effects when the space system is stable and both n and T are large.The paper shows that when using the transformation approach,the quasi-maximum likelihood estimators yield a bias of O(1/T) order in the general case.When(n-1)/T→0,the estimators converge consistently to the true value with the rate of √(n-1)/T.When(n-1)/T →∞,the estimators converge to a degenerate distribution at the rate of T.The estimators obtained by the direct approach yield a bias of max(O(1/T),O(1/n)) order in the general case.When n/T→0 and n/T→∞,the estimators are converge to different degenerate distributions at the rate of n and T respectively.The bias corrected estimators have better finite sample properties than the quasi-maximum likelihood estimators.When nT^(3)→0,the bias corrected estimators obtained by the transformation approach are √(n-1)/T consistently converge to the true value.When n/T^(3)and n^(3)/T both tend to 0,the bias corrected estimators obtained by the direct approach converge to the true value consistently with the rate of √nT.The direct approach can consistently estimate the individual effects and time effects while transformation approach cannot.The finite sample property of the DASC panel model with fixed effects is better than that of DSAR panel model when the error term has the spatial correlation structure.Finally,an empirical research example shows the application value of the DSAC model.

关 键 词：DSAC面板模型 双固定效应 拟极大似然估计 偏差修正 人口增长率 

分 类 号：F224.0[经济管理—国民经济]