空间面板数据模型——基于空间计量的文献综述  

Spatial Panel Data Models——A Survey

作　　者：李龙飞 虞吉海[2] Lung-fei Lee;Jihai Yu(School of Economics Shanghai University of Finance and Economics;Guanghua School of Management,Peking University)

机构地区：[1]上海财经大学经济学院 [2]北京大学光华管理学院

出　　处：《经济管理学刊》2024年第1期83-114,共32页Quarterly Journal of Economics and Management

基　　金：国家自然科学基金杰出青年项目(71925006);国家自然科学基金重点项目(72333001、72333002)对本文研究的资助。

摘　　要：本文对计量经济学中的空间面板数据模型进行了文献综述。近十几年来,具有空间交互作用的面板数据模型在实证研究中越来越重要,因为它考虑了动态和空间依赖性,并控制了不可观测的异质性。利用面板数据,我们不仅可以有更大的样本量来提高估计的有效性,还可以研究一些横截面数据无法处理的问题,例如异质性和跨时间的状态依赖性。本文首先详细介绍了各种空间面板数据模型,分为静态空间面板和动态空间面板两大类进行文献梳理,然后针对这两类情况详细介绍对应的估计方法,包括拟最大似然估计和广义矩方法,最后介绍了近年来空间面板数据模型的非参数估计。This paper reviews the literature on spatial panel data models in econometrics.In recent decades,panel data models with spatial interactions have become increasingly important in empirical research,as they account for dynamic and spatial dependencies and control for unobservable heterogeneity.With panel data,we can not only have a larger sample size to improve the efficiency of the estimators,but also investigate some problems that cross-sectional data cannot handle,such as heterogeneity and state dependence across time.This paper first introduces various spatial panel data model specifications,which are divided into two categories:static spatial panels and dynamic spatial panels.For static spatial panel data models,the regressors do not include a time-lagged term,but the disturbances can have serial correlation along with the spatial correlation.Depending on whether the individual effects are correlated with regressors,we have fixed effects models and random effects models.For spatial dynamic panel data models,we need to consider the influence of the initial period,and the length of time periods is important for asymptotic analysis.Depending on the eigenvalue structure of the dynamic process,we have stable,spatial cointegration,unit root,and explosive processes.Besides these two benchmark models,various model specifications are proposed in the literature,such as the semiparametric approach,common factors,endogenous spatial weights matrix,simultaneous equations model,and structural change.We then introduce corresponding estimation methods in detail for the two benchmarks,including quasi-maximum likelihood estimation and generalized moment method.For the static spatial panel data models,we present likelihood approaches for the fixed and random effects models.For the fixed effects model,we can either estimate those fixed effects directly along with the regression coefficients,or transform the data to eliminate those fixed effects and then perform the estimation.The latter transformation approach can avoid the incid

关 键 词：空间计量 面板数据 动态面板 拟似然估计 广义矩估计 二阶矩 异方差 非参数估计 

分 类 号：F064.1[经济管理—政治经济学]