GMM estimation with cross sectional dependence
GMM estimation with cross sectional dependence
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DOI：
10.1016/s0304-4076(98)00084-0
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发表时间：
1999-09-01
影响因子：
6.3
通讯作者：
Conley, TG
中科院分区：
文献类型：
--
作者：
Conley, TG
本文用经济距离度量提出了agent间依赖的空间模型。这种经济距离的测量提供了与时间序列数据中的时间指数所提供的结构类似的横截面数据。证明了利用这类相关数据的广义矩估计方法是一致的和渐近正态的。本文给出了一类非参数的正半定协方差矩阵估计，它允许以经济距离为特征的一般依赖形式。当经济距离没有被精确地观察到时，这些协方差矩阵估计是保持一致的。(C) 1999 Elsevier Science S.A.版权所有JEL分类：C50；碳。
This paper presents a spatial model of dependence among agents using a metric of economic distance. Measurements of this economic distance provide cross-sectional data with a structure similar to that provided by the time index in time-series data. Generalized method of moments estimators using such dependent data are shown to be consistent and asymptotically normal. This paper presents a class of non-parametric, positive semi-definite covariance matrix estimators that allow for general forms of dependence characterized by economic distance. These covariance matrix estimators are shown to remain consistent when economic distances are not precisely observed. (C) 1999 Elsevier Science S.A. All rights reserved. JEL classification: C50; C14.