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Asymptotic Analysis For Nonlinear Spatial And Network Econometric Models
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Book Synopsis Asymptotic Analysis for Nonlinear Spatial and Network Econometric Models by : Xingbai Xu
Download or read book Asymptotic Analysis for Nonlinear Spatial and Network Econometric Models written by Xingbai Xu and published by . This book was released on 2016 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spatial econometrics has been obtained more and more attention in the recent years. The spatial autoregressive (SAR) model is one of the most widely used and studied models in spatial econometrics. So far, most studies have been focused on linear SAR models. However, some types of spatial or network data, for example, censored data or discrete choice data, are very common and useful, but not suitable to study by a linear SAR model. That is why I study an SAR Tobit model and an SAR binary choice model in this dissertation. Chapter 1 studies a Tobit model with spatial autoregressive interactions. We consider the maximum likelihood estimation (MLE) for this model and analyze asymptotic properties of the estimator based on the spatial near-epoch dependence (NED) of the dependent variable process generated from the model structure. We show that the MLE is consistent and asymptotically normally distributed. Monte Carlo experiments are performed to verify finite sample properties of the estimator. Chapter 2 extends the MLE estimation of the SAR Tobit model studied in Chapter 1 to distribution-free estimation. We examine the sieve MLE of the model, where the disturbances are i.i.d. with an unknown distribution. This model can be applied to spatial econometrics and social networks when data are censored. We show that related variables are spatial NED. An important contribution of this chapter is that I develop some exponential inequalities for spatial NED random fields, which are also useful in other semiparametric studies when spatial correlation exists. With these inequalities, we establish the consistency of the estimator. Asymptotic distributions of structural parameters of the model are derived from a functional central limit theorem and projection. Simulations show that the sieve MLE can improve the finite sample performance upon misspecified normal MLEs, in terms of reduction in the bias and standard deviation. As an empirical application, we examine the school district income surtax rates in Iowa. Our results show that the spatial spillover effects are significant, but they may be overestimated if disturbances are restricted to be normally distributed. Chapter 3 studies the method of simulated moments (MSM) estimation of a binary choice game model with network links, where the network peer effects are non-negative, and there might be only one or few networks in the sample. The proposed estimation method can be applied to studies with binary dependent variables in the fields of empirical IO, social network and spatial econometrics. The model might have multiple Nash equilibria. We assume that the maximum Nash equilibrium, which always exists and is strongly coalition-proof and Pareto optimal, is selected. The challenging econometric issues are the possible correlation among all dependent variables and the discontinuous functional form of our simulated moments. We overcome these challenges via the empirical process theory and derive the spatial NED of the dependent variable. We establish a criterion for an NED random field to be stochastically equicontinuous and we apply it to develop the consistency and asymptotic normality of the estimator. We examine computational issues and finite sample properties of the MSM by some Monte Carlo experiments.
Book Synopsis Dynamic Nonlinear Econometric Models by : Benedikt M. Pötscher
Download or read book Dynamic Nonlinear Econometric Models written by Benedikt M. Pötscher and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many relationships in economics, and also in other fields, are both dynamic and nonlinear. A major advance in econometrics over the last fifteen years has been the development of a theory of estimation and inference for dy namic nonlinear models. This advance was accompanied by improvements in computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men tioned articles a number of then new results. One example is a consis tency result for the case where the identifiable uniqueness condition fails.
Book Synopsis Spatial Econometrics: Spatial Autoregressive Models by : Lung-fei Lee
Download or read book Spatial Econometrics: Spatial Autoregressive Models written by Lung-fei Lee and published by World Scientific. This book was released on 2023-10-16 with total page 894 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the most recently developed book in Spatial Econometrics which cover important models and estimation methods. Its coverage is rather broad, and some of the topics covered have only been developed in the recent econometric literature in spatial econometrics.The book summarizes our devoted efforts on spatial econometrics that represent joint contributions with former PhD advisees from the Ohio State University in Columbus, Ohio, USA.The coverage is comprehensive and there are a total of sixteen chapters from basic statistics and statistical theory of linear-quadratic forms, law of large numbers (LLN) and central limit theory (CLT) on martingales to nonlinear spatial mixing and spatial near-epoch dependence theories, which can justify the statistic inferences for various spatial models and their estimation. New estimation and testing approaches in empirical likelihood and general empirical likelihood, and Bootstrapping are presented. Model selection is also discussed in this book. In addition to the popular spatial autoregressive models, there are chapters on multivariate SAR models, simultaneous SAR models, and panel dynamic spatial models. Recent econometric developments on intertemporal spatial models with rational expectations and flows data in trade theory will also be included. In terms of statistics, classical estimation, testing and inference are the main concerns, and we provide classical inference for the justification of Bayesian simulation approaches.
Book Synopsis Robust Methods and Asymptotic Theory in Nonlinear Econometrics by : H. J. Bierens
Download or read book Robust Methods and Asymptotic Theory in Nonlinear Econometrics written by H. J. Bierens and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the data. The estimation methods involved are nonlinear least squares estimation (NLLSE), nonlinear robust M-estimation (NLRME) and non linear weighted robust M-estimation (NLWRME) for the regression case and nonlinear two-stage least squares estimation (NL2SLSE) and a new method called minimum information estimation (MIE) for the case of structural equations. The asymptotic properties of the NLLSE and the two robust M-estimation methods are derived from further elaborations of results of Jennrich. Special attention is payed to the comparison of the asymptotic efficiency of NLLSE and NLRME. It is shown that if the tails of the error distribution are fatter than those of the normal distribution NLRME is more efficient than NLLSE. The NLWRME method is appropriate if the distributions of both the errors and the regressors have fat tails. This study also improves and extends the NL2SLSE theory of Amemiya. The method involved is a variant of the instrumental variables method, requiring at least as many instrumental variables as parameters to be estimated. The new MIE method requires less instrumental variables. Asymptotic normality can be derived by employing only one instrumental variable and consistency can even be proved with out using any instrumental variables at all.
Book Synopsis The Econometric Analysis of Non-Stationary Spatial Panel Data by : Michael Beenstock
Download or read book The Econometric Analysis of Non-Stationary Spatial Panel Data written by Michael Beenstock and published by Springer. This book was released on 2019-03-27 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph deals with spatially dependent nonstationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial nonstationarity in spatial cross-section data, and a full exposition of non-stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel.
Book Synopsis On Unification of the Asymptotic Theory of Nonlinear Econometric Models by : Jose F. Burguete
Download or read book On Unification of the Asymptotic Theory of Nonlinear Econometric Models written by Jose F. Burguete and published by . This book was released on 1980 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Spatial Econometrics: Methods and Models by : L. Anselin
Download or read book Spatial Econometrics: Methods and Models written by L. Anselin and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spatial econometrics deals with spatial dependence and spatial heterogeneity, critical aspects of the data used by regional scientists. These characteristics may cause standard econometric techniques to become inappropriate. In this book, I combine several recent research results to construct a comprehensive approach to the incorporation of spatial effects in econometrics. My primary focus is to demonstrate how these spatial effects can be considered as special cases of general frameworks in standard econometrics, and to outline how they necessitate a separate set of methods and techniques, encompassed within the field of spatial econometrics. My viewpoint differs from that taken in the discussion of spatial autocorrelation in spatial statistics - e.g., most recently by Cliff and Ord (1981) and Upton and Fingleton (1985) - in that I am mostly concerned with the relevance of spatial effects on model specification, estimation and other inference, in what I caIl a model-driven approach, as opposed to a data-driven approach in spatial statistics. I attempt to combine a rigorous econometric perspective with a comprehensive treatment of methodological issues in spatial analysis.
Book Synopsis The Econometric Analysis of Non-stationary Spatial Panel Data by : Michael Beenstock
Download or read book The Econometric Analysis of Non-stationary Spatial Panel Data written by Michael Beenstock and published by . This book was released on 2019 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph deals with spatially dependent non-stationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial non-stationarity in spatial cross-section data, and a full exposition of non stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel. .
Book Synopsis Asymptotic and Bootstrap Specification Tests of Nonlinear in Variables Econometric Models by : Miguel A. Delgado
Download or read book Asymptotic and Bootstrap Specification Tests of Nonlinear in Variables Econometric Models written by Miguel A. Delgado and published by . This book was released on 1998 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Refinement of Econometric Estimation and Test Procedures by : Garry D. A. Phillips
Download or read book The Refinement of Econometric Estimation and Test Procedures written by Garry D. A. Phillips and published by . This book was released on 2007 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main theme of this book is the importance of refined asymptotic methods to econometric analysis.
Book Synopsis Handbook of Applied Economic Statistics by : Aman Ullah
Download or read book Handbook of Applied Economic Statistics written by Aman Ullah and published by CRC Press. This book was released on 1998-02-03 with total page 646 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work examines theoretical issues, as well as practical developments in statistical inference related to econometric models and analysis. This work offers discussions on such areas as the function of statistics in aggregation, income inequality, poverty, health, spatial econometrics, panel and survey data, bootstrapping and time series.
Book Synopsis Asymptotic Analysis II by : F. Verhulst
Download or read book Asymptotic Analysis II written by F. Verhulst and published by . This book was released on 2014-01-15 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymptotic Analysis of Nonlinear Systems with Small Stochastic Perturbations by : J. Grasman
Download or read book Asymptotic Analysis of Nonlinear Systems with Small Stochastic Perturbations written by J. Grasman and published by . This book was released on 1988 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Analysis written by and published by . This book was released on 1983 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Spatial Econometrics by : J. Paul Elhorst
Download or read book Spatial Econometrics written by J. Paul Elhorst and published by Springer Science & Business Media. This book was released on 2013-09-30 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of three generations of spatial econometric models: models based on cross-sectional data, static models based on spatial panels and dynamic spatial panel data models. The book not only presents different model specifications and their corresponding estimators, but also critically discusses the purposes for which these models can be used and how their results should be interpreted.
Book Synopsis Complex Networks and Dynamics by : Pasquale Commendatore
Download or read book Complex Networks and Dynamics written by Pasquale Commendatore and published by Springer. This book was released on 2016-09-14 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume sheds light on the current state of complex networks and nonlinear dynamics applied to the understanding of economic and social phenomena ranging from geographical economics to macroeconomics and finance, and its purpose is to give readers an overview of several interesting topics for research at an intermediate level. Three different and interdisciplinary, but complementary, aspects of networks are put together in a single piece, namely: (i) complex networks theory, (ii) applied network analysis to social and economic interrelations, and (iii) dynamical evolution of systems and networks. The volume includes contributions from excellent scholars in economics and social sciences as well as leading experts in the fields of complex networks and nonlinear dynamics.
Book Synopsis Spatial Microeconometrics by : Giuseppe Arbia
Download or read book Spatial Microeconometrics written by Giuseppe Arbia and published by Routledge. This book was released on 2021-03-25 with total page 251 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spatial Microeconometrics introduces the reader to the basic concepts of spatial statistics, spatial econometrics and the spatial behavior of economic agents at the microeconomic level. Incorporating useful examples and presenting real data and datasets on real firms, the book takes the reader through the key topics in a systematic way. The book outlines the specificities of data that represent a set of interacting individuals with respect to traditional econometrics that treat their locational choices as exogenous and their economic behavior as independent. In particular, the authors address the consequences of neglecting such important sources of information on statistical inference and how to improve the model predictive performances. The book presents the theory, clarifies the concepts and instructs the readers on how to perform their own analyses, describing in detail the codes which are necessary when using the statistical language R. The book is written by leading figures in the field and is completely up to date with the very latest research. It will be invaluable for graduate students and researchers in economic geography, regional science, spatial econometrics, spatial statistics and urban economics.
