Spatial weights matrix selection and model averaging for spatial autoregressive models
文献类型：期刊论文
| 作者 | Zhang, Xinyu1,2 ; Yu, Jihai3
|
| 刊名 | JOURNAL OF ECONOMETRICS
 |
| 出版日期 | 2018-03-01 |
| 卷号 | 203期号:1页码:1-18 |
| 关键词 | Model averaging Model selection Spatial autoregressive Spatial econometrics |
| ISSN号 | 0304-4076 |
| DOI | 10.1016/j.jeconom.2017.05.021 |
| 英文摘要 | Spatial econometrics relies on the spatial weights matrix to specify the cross-sectional dependence; however, the candidate spatial weights matrices might not be unique. This paper proposes a model selection procedure to choose a weights matrix from several candidates by using a Mallows type criterion. We prove that when the true weights matrix is not in the candidates, the procedure is asymptotically optimal in the sense of minimizing the squared loss; otherwise, the procedure can select the true weights matrix consistently. We then propose a model averaging procedure to reduce the squared loss. We also provide procedures for the spatial model with heteroscedasticity and endogenous regressors and the model with both spatial lag and spatial error. Monte Carlo experiments show that proposed procedures have satisfactory finite sample performances. We apply the model selection and model averaging procedures to study the market integration in China using historical rice prices. (C) 2017 Elsevier B.V. All rights reserved. |
| 资助项目 | National Science Foundation of China[71522004] ; National Science Foundation of China[11471324] ; National Science Foundation of China[71631008] ; National Science Foundation of China[71322105] ; National Science Foundation of China[71532001] ; Ministry of Education of China[17YJC910011] ; Center for Statistical Science of Peking University |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000426023100001 |
| 出版者 | ELSEVIER SCIENCE SA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/29726]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Yu, Jihai |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China 3.Peking Univ, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhang, Xinyu,Yu, Jihai. Spatial weights matrix selection and model averaging for spatial autoregressive models[J]. JOURNAL OF ECONOMETRICS,2018,203(1):1-18. |
| APA | Zhang, Xinyu,&Yu, Jihai.(2018).Spatial weights matrix selection and model averaging for spatial autoregressive models.JOURNAL OF ECONOMETRICS,203(1),1-18. |
| MLA | Zhang, Xinyu,et al."Spatial weights matrix selection and model averaging for spatial autoregressive models".JOURNAL OF ECONOMETRICS 203.1(2018):1-18. |
入库方式： OAI收割
来源：数学与系统科学研究院
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