未知空间权重矩阵及固定效应下空间自回归模型估计——以两层次市场发展格局为例  

Estimation of Spatial Autoregressive Model with Unknown Spatial Weight Matrix and Fixed Effects:Taking the Development Pattern of Two-tier Market as an Example

作　　者：罗学洪 林金官[2] 汪红霞[2] Luo Xuehong;Lin Jinguan;Wang Hongxia

机构地区：[1]厦门大学经济学院 [2]南京审计大学统计与数据科学学院

出　　处：《统计研究》2025年第1期129-144,共16页Statistical Research

基　　金：国家社会科学基金重大项目“中国式现代化的统计监测评价问题研究”(23&ZD036)。

摘　　要：2022年国务院正式发布关于加快建设全国统一大市场的意见,厘清各地方市场间的合作竞争关系有助于更快更好地构建全国统一大市场。为准确反映我国地方要素市场和产品市场构成的两层次市场之间的影响关系,本文将未知的非对称空间权重矩阵与固定效应同时引入带协变量的空间面板自回归模型,放宽模型对变量的严格假设条件,提出一类带未知空间矩阵和固定效应的空间自回归模型,并结合多维广义Yule-Walker方程和广义矩估计的思想,基于比率值构建方程维数的自适应选择方法,给出可行的模型参数估计方法及估计量的理论性质。另外,利用数值模拟评价本文所提模型估计方法的有限样本性质,且模拟结果表明模型对样本的解释能力也较强。最后,通过省域样本数据,实证研究我国各地区在两层次市场发展过程中的点对点影响关系,发现各地区和区域当期的两层次市场影响方向往往存在对称性,但影响强度非对称,而前期两层次市场的发展水平对当期发展的影响关系表现为非对称。In 2022,the State Council of the People's Republic of China officially released the opinions on accelerating the construction of a unified national market,and clarifying the cooperative and competitive relationship between provinces in the two-tier market will help to build an economic development pattern dominated by the unified national market.In order to reflect the relationship between provinces in the two-tier market,this paper proposes a spatial panel autoregressive model with the unknown asymmetric spatial weight matrix and fixed effects,and relaxes the strict assumptions about variables when there are many covariates.Further,it combines the method of multidimensional generalized Yule-Walker equations and GMM,and an adaptive selection method of equation dimension is constructed based on ratio values,and the model parameter estimation methods and properties of estimators are also provided.In addition,numerical simulations are used to evaluate the finite sample performance of the model and estimation method proposed in this paper,the simulation results show that the model has a strong ability to explain the samples.Finally,through the provincial sample data,this paper studies the point-to-point impact relationship in the development process of the two-tier market in various provinces in China,and finds that there is often symmetry in the impact direction of the two-tier market in each province and region during the current period,but the impact intensity is asymmetric,and the impact relationship between the development level of the two-tier market in the previous period and the current period development is asymmetric.

关 键 词：空间自回归 空间权重矩阵 固定效应 广义矩估计 广义Yule-Walker方程 两层次市场 

分 类 号：F224[经济管理—国民经济] F124