空间权重矩阵设定及SAR模型的广义工具变量估计量  

Justification of spatial weights matrices and generalized IVestimation of SAR models

作　　者：王维国[1] 吴传开 付裕 WANG Weiguo;WU Chuankai;FU Yu(School of Economics,Dongbei University of Finance and Economics,Dalian 116025,China)

机构地区：[1]东北财经大学经济学院,大连116025

出　　处：《系统工程理论与实践》2024年第9期3023-3039,共17页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(71773012,72273019)。

摘　　要：空间计量模型依靠空间权重矩阵来对不同空间单元在截面上的相关进行界定,但是在实践中空间权重矩阵的设定却往往是空间计量模型设定中的一大难题.本文通过违背循环差条件下的矩阵分解方法,结合现有研究将空间权重矩阵解释为一种“双边的桥梁”.基于对空间权重矩阵的分解,本文从两个方面进一步拓展了带有时变内生空间权重矩阵时SAR(spatial autoregressive)模型的工具变量估计量.第一种方法通过更加具体的变量细分,使得工具变量估计量的相关性条件更容易满足;第二种方法将uN=RNεN这一非参数设定中RN的元素由非随机拓展至随机.本文给出了两种估计量的渐进性质,并通过蒙特卡罗模拟来对这两种方法的小样本表现进行了研究.最后,本文利用工具变量估计的方法对92个主要国家(或地区)贸易的跨国污染效应进行了分析.Spatial weights matrices are utilized to collect the cross-sectional relationship of different spatial units in spatial econometric models.Nevertheless,it is still very challenging in terms of the specification of spatial weights matrices in many real applications.In this paper,we justify a spatial weights matrix as a“bilateral channel/bridge”through the matrix decomposition with the violation of the tetra-difference condition based on existing researches.Two types of generalized IV estimation are proposed on the basis in the presence of time-varying and endogenous spatial weights matrices in spatial autoregressive(SAR)models,where the relevance assumption is easier to be satisfied with more detailed classification of variables in the weighting system for the first type;and the non-parametric specification of the error terms,uN=RNεN,is also generalized to the cases with stochastic elements in RN for the second type.Asymptotic properties of these methods are derived and small-sample performances of them are investigated through Monte Carlo simulations.Usefulness of the method is demonstrated in studying the spillover effects of air pollution through international trade in 92 countries(or areas).

关 键 词：工具变量 时变内生空间权重矩阵 空间自回归(SAR)模型 空气污染 双边贸易 

分 类 号：F064.1[经济管理—政治经济学]