Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices
Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices
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DOI：
10.1002/jae.2792
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发表时间：
2020-10-12
影响因子：
2.1
通讯作者：
Pesaran, M. Hashem
中科院分区：
文献类型：
--
作者：
Aquaro, Michele;Bailey, Natalia;Pesaran, M. Hashem
本文考虑了具有异质空间滞后系数、有或没有弱外生回归量且受异方差误差影响的空间面板数据模型的估计和推断。开发了准最大似然（QML）估计程序，并导出了识别空间系数的条件。各个空间系数的 QML 估计量及其平均组估计量被证明是一致的且渐近正态的。通过蒙特卡罗模拟研究了所提出的估计量的小样本特性，结果表明，即使对于具有中等时间维度的面板并且与横截面单元的数量无关，结果也与论文的关键理论发现一致。对 1975 年至 2014 年期间美国房价变化的详细实证应用表明，所考虑的 338 个大都市统计区域的时空动态存在显着的异质性。
This paper considers the estimation and inference of spatial panel data models with heterogeneous spatial lag coefficients, with and without weakly exogenous regressors, and subject to heteroskedastic errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of the spatial coefficients are derived. The QML estimators of individual spatial coefficients, as well as their mean group estimators, are shown to be consistent and asymptotically normal. Small-sample properties of the proposed estimators are investigated by Monte Carlo simulations and results are shown to be in line with the paper's key theoretical findings, even for panels with moderate time dimensions and irrespective of the number of cross-section units. A detailed empirical application to US house price changes during the 1975-2014 period shows a significant degree of heterogeneity in spatiotemporal dynamics over the 338 Metropolitan Statistical Areas considered.