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Inference on Spatial-Temporal Econometric Models

时空计量经济模型的推论

基本信息

批准号：
ES/J007242/1
负责人：
Peter Robinson
金额：
$ 37.62万
依托单位：
London School of Economics and Political Science
依托单位国家：
英国
项目类别：
Research Grant
财政年份：
2012
资助国家：
英国
起止时间：
2012 至无数据
项目状态：
已结题

来源：
https://gtr.ukri.org/projects?ref=ES%2FJ007242%2F1
关键词：
Inference Spatial Temporal Econometric Models

项目摘要

Much economic data are recorded over both space and time. Frequently they exhibit correlation, as well as trending behaviour. A suitable econometric model enables analysis and estimation of such phenomena. In particular, correcting for spatial and temporal correlation can lead to improved estimation of parameters of economic interest and tests of economic hypotheses, with implications for economic policy. We make use of possible knowledge of spatial locations or of economic distances between locations, or estimates of such distances, or else of a large number of temporal observations, to estimate spatial correlation, as well as employing knowledge of regularity or irregularity of temporal observations to estimate time series correlation. A broad and flexible model class will be considered, allowing for a continuum of strong to weak correlation, as well as general forms of trending behaviour, and model components whose functional form is unknown, with a view to reducing risk of misspecification. Methods of estimation and testing that are relatively reliable, and precise, will be proposed, and theory developed that rigorously justifies decision-making rules. This theory will be supplemented by simulation studies and applications to empirical data, and software embodying the econometric procedures will be written and made freely available to practitioners.

许多经济数据都是在空间和时间上记录的。它们经常表现出相关性，以及趋势性行为。一个合适的计量经济模型能够分析和估计这类现象。特别是，修正空间和时间相关性可以改进对经济利益参数的估计和对经济假设的检验，并对经济政策产生影响。我们利用可能的空间位置或位置之间的经济距离的知识，或对这些距离的估计，或大量时间观测的其他情况，来估计空间相关性，以及利用时间观测的规律性或不规则性的知识来估计时间序列相关性。将考虑一个广泛和灵活的模型类别，以考虑强相关性到弱相关性的连续体，以及趋势性行为的一般形式，以及功能形式未知的模型组件，以期减少错误说明的风险。将提出相对可靠和精确的评估和测试方法，并开发出严格证明决策规则合理的理论。这一理论将通过模拟研究和对经验数据的应用来补充，并将编写包含计量经济学程序的软件，并向从业者免费提供。