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Improved Inference For Spatial And Panel Models
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Book Synopsis Improved Inference for Spatial and Panel Models by : Min Seong Kim
Download or read book Improved Inference for Spatial and Panel Models written by Min Seong Kim and published by . This book was released on 2011 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 is "Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects." This chapter studies robust inference for linear panel models with fixed effects in the presence of heteroskedasticity and spatiotemporal dependence of unknown forms. We propose a bivariate kernel covariance estimator, which is flexible to nest existing estimators as special cases with certain choices of bandwidths. For distributional approximations, we consider two different types of asymptotics. When the level of smoothing is assumed to increase with the sample size, the proposed estimator is consistent and the associated Wald statistic converges to a chi square distribution. We show that our covariance estimator improves upon existing estimators in terms of robustness and efficiency. When we assume the level of smoothing to be held fixed, the covariance estimator has a random limit and we show by asymptotic expansion that the limiting distribution of the test statistic depends on the bandwidth parameters, the kernel function, and the number of restrictions being tested. As this distribution is nonstandard, we establish the validity of an F-approximation to this distribution, which greatly facilitates the test. For optimal bandwidth selection, we propose a procedure based on the upper bound of asymptotic mean square error criterion. The flexibility of our estimator and proposed bandwidth selection procedure make our estimator adaptive to the dependence structure in data. This adaptiveness automates the selection of covariance estimator. That is, our estimator reduces to the existing estimators which are designed to cope with the particular dependence structures. Simulation results show that the F-approximation and the adaptiveness work reasonably well. Chapter 2 is "Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix". This chapter considers spatial heteroskedasticity and autocorrelation consistent (spatial HAC) estimation of covariance matrices of parameter estimators. We generalize the spatial HAC estimators introduced by Kelejian and Prucha (2007) to apply to linear and nonlinear spatial models with moment conditions. We establish its consistency, rate of convergence and asymptotic truncated mean squared error (MSE). Based on the asymptotic truncated MSE criterion, we derive the optimal bandwidth parameter and suggest its data dependent estimation procedure using a parametric plug-in method. The finite sample performances of the spatial HAC estimator are evaluated via Monte Carlo simulation. Chapter 3 is "k-step Bootstrap Bias Correction for Fixed Effects Estimator in Nonlinear Panel Models." Fixed effects estimators in nonlinear panel models with fixed T usually suffer from inconsistency because of the incidental parameters problem first noted by Neyman and Scott (1948). Moreover, even though T grows at the same rate as n, they are asymptotically biased and therefore the associated confidence interval has a large coverage error. This chapter proposes a k-step parametric bootstrap bias corrected estimator. We prove that our estimator is asymptotically normal and is centered at the true parameter if T grows faster than n to a third power. In addition to bias correction, we construct a confidence interval with a double bootstrap procedure, and Monte Carlo experiments confirm that the error in coverage probability of our CI's is smaller than those of the alternatives. We also propose bias correction for average marginal effects.
Book Synopsis Handbook of Applied Spatial Analysis by : Manfred M. Fischer
Download or read book Handbook of Applied Spatial Analysis written by Manfred M. Fischer and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 801 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook is written for academics, researchers, practitioners and advanced graduate students. It has been designed to be read by those new or starting out in the field of spatial analysis as well as by those who are already familiar with the field. The chapters have been written in such a way that readers who are new to the field will gain important overview and insight. At the same time, those readers who are already practitioners in the field will gain through the advanced and/or updated tools and new materials and state-of-the-art developments included. This volume provides an accounting of the diversity of current and emergent approaches, not available elsewhere despite the many excellent journals and te- books that exist. Most of the chapters are original, some few are reprints from the Journal of Geographical Systems, Geographical Analysis, The Review of Regional Studies and Letters of Spatial and Resource Sciences. We let our contributors - velop, from their particular perspective and insights, their own strategies for m- ping the part of terrain for which they were responsible. As the chapters were submitted, we became the first consumers of the project we had initiated. We gained from depth, breadth and distinctiveness of our contributors’ insights and, in particular, the presence of links between them.
Book Synopsis Estimation and Inference in Heterogeneous Spatial Panel Data Models with a Multifactor Error Structure by : Jia Chen
Download or read book Estimation and Inference in Heterogeneous Spatial Panel Data Models with a Multifactor Error Structure written by Jia Chen and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of Spatial Panels by : Lung-fei Lee
Download or read book Estimation of Spatial Panels written by Lung-fei Lee and published by Now Publishers Inc. This book was released on 2011 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimation of Spatial Panels provides some recent developments on the specification and estimation of spatial panel models.
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 The Econometrics of Panel Data by : Lászlo Mátyás
Download or read book The Econometrics of Panel Data written by Lászlo Mátyás and published by Springer Science & Business Media. This book was released on 2008-04-06 with total page 966 pages. Available in PDF, EPUB and Kindle. Book excerpt: This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.
Book Synopsis Improved Causal Inference on Spatial Observations by : Morgan Kelly
Download or read book Improved Causal Inference on Spatial Observations written by Morgan Kelly and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: With geographical observations, nearby places often have very similar treatments, controls, and outcomes. In such cases, even with perfect identification, difference in differences and synthetic controls return imprecise coefficients, while regression discontinuities and instrumental variables are prone to severe bias and spurious significance. This paper shows how this may be remedied by adding a spatial smoothing spline to the regression, something easily implemented in practice. The spline allows spatial structure to be separated out as a nuisance variable while simultaneously improving the bias-variance trade-off for the parameters of interest. For simulations and real examples, including a spline causes a marked shrinkage of coefficients, while standard errors change little for most types of cross-section but fall for panels.
Book Synopsis Introduction to Spatial Econometrics by : James LeSage
Download or read book Introduction to Spatial Econometrics written by James LeSage and published by CRC Press. This book was released on 2009-01-20 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although interest in spatial regression models has surged in recent years, a comprehensive, up-to-date text on these approaches does not exist. Filling this void, Introduction to Spatial Econometrics presents a variety of regression methods used to analyze spatial data samples that violate the traditional assumption of independence between observat
Book Synopsis The Oxford Handbook of Panel Data by : Badi Hani Baltagi
Download or read book The Oxford Handbook of Panel Data written by Badi Hani Baltagi and published by . This book was released on 2015 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.
Book Synopsis Microeconometrics by : Steven Durlauf
Download or read book Microeconometrics written by Steven Durlauf and published by Springer. This book was released on 2016-06-07 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Book Synopsis Essays on Spatial Panel Data Models with Common Factors by : Wei Shi
Download or read book Essays on Spatial Panel Data Models with Common Factors written by Wei Shi and published by . This book was released on 2016 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation research addresses issues in spatial panel data models, which study the interactions of economic units across space and time. Individuals interact with their neighbors and the outcomes are interdependent. The strength of the interaction depends on the distance between the individuals, which can be based on geography or constructed from economic theory. Accounting for spatial interactions allows one to quantify both the direct effect of a variable and its indirect effect through impacting neighbors. However, two issues often arise. First, spatial dependence can be alternatively generated from common unobserved factors (e.g. economy-wide shocks) where neighbors have similar responses. Second, the distance between economic units can be endogenous, and this will in fact be the case if the distance is constructed from variables that correlate with disturbances in the outcomes. The first chapter studies the estimation of a dynamic spatial panel data model with interactive individual and time effects with large n and T. The model has a rich spatial structure including contemporaneous spatial interaction and spatial heterogeneity. Dynamic features include individual time lag and spatial diffusion. In a standard two way fixed effects panel regression model, the unobservables contain an individual specific but time invariant component, and a component that is time variant but common across individuals. We generalize this model by allowing the interaction between time effects and individual effects. This chapter provides a tool for empirical researchers to guard against attributing correlated responses to common time effects as spatial effects. The interactive effects are treated as parameters, so as to allow correlations between the interactive effects and the regressors. We consider a quasi-maximum likelihood estimation and show estimator consistency and characterize its asymptotic distribution. The Monte Carlo experiment shows that the estimator performs well and the proposed bias correction is effective. The second chapter proposes a unified approach to model endogenous spatial dependences while accounting for common factors. The spatial weights matrices are constructed from variables that may correlate with the disturbances in the outcomes. We make minimal assumptions on the distributions of the factors and follow a fixed effects approach. We provide conditions under which the quasi-maximum likelihood estimator is consistent and asymptotically normal, under the asymptotics where both the cross section and time dimensions become large. The limiting distribution is normal but may not be centered for the estimates of the spatial interaction coefficient and the variances. An analytical bias correction is proposed to improve the inference. The Monte Carlo simulations demonstrate good finite sample properties of the bias corrected estimator. We illustrate the empirical relevance of the theory by applying the method to analyze the effect of house price dynamics on reverse mortgage origination rates.
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 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 Spatial Microeconometrics by : Giuseppe Arbia
Download or read book Spatial Microeconometrics written by Giuseppe Arbia and published by Routledge. This book was released on 2021-03-26 with total page 259 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.
Book Synopsis Spatial Econometrics by : Harry Kelejian
Download or read book Spatial Econometrics written by Harry Kelejian and published by Academic Press. This book was released on 2017-07-20 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spatial Econometrics provides a modern, powerful and flexible skillset to early career researchers interested in entering this rapidly expanding discipline. It articulates the principles and current practice of modern spatial econometrics and spatial statistics, combining rigorous depth of presentation with unusual depth of coverage. Introducing and formalizing the principles of, and ‘need’ for, models which define spatial interactions, the book provides a comprehensive framework for almost every major facet of modern science. Subjects covered at length include spatial regression models, weighting matrices, estimation procedures and the complications associated with their use. The work particularly focuses on models of uncertainty and estimation under various complications relating to model specifications, data problems, tests of hypotheses, along with systems and panel data extensions which are covered in exhaustive detail. Extensions discussing pre-test procedures and Bayesian methodologies are provided at length. Throughout, direct applications of spatial models are described in detail, with copious illustrative empirical examples demonstrating how readers might implement spatial analysis in research projects. Designed as a textbook and reference companion, every chapter concludes with a set of questions for formal or self--study. Finally, the book includes extensive supplementing information in a large sample theory in the R programming language that supports early career econometricians interested in the implementation of statistical procedures covered. Combines advanced theoretical foundations with cutting-edge computational developments in R Builds from solid foundations, to more sophisticated extensions that are intended to jumpstart research careers in spatial econometrics Written by two of the most accomplished and extensively published econometricians working in the discipline Describes fundamental principles intuitively, but without sacrificing rigor Provides empirical illustrations for many spatial methods across diverse field Emphasizes a modern treatment of the field using the generalized method of moments (GMM) approach Explores sophisticated modern research methodologies, including pre-test procedures and Bayesian data analysis
Book Synopsis Applied Spatial Statistics and Econometrics by : Katarzyna Kopczewska
Download or read book Applied Spatial Statistics and Econometrics written by Katarzyna Kopczewska and published by Routledge. This book was released on 2020-11-25 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook is a comprehensive introduction to applied spatial data analysis using R. Each chapter walks the reader through a different method, explaining how to interpret the results and what conclusions can be drawn. The author team showcases key topics, including unsupervised learning, causal inference, spatial weight matrices, spatial econometrics, heterogeneity and bootstrapping. It is accompanied by a suite of data and R code on Github to help readers practise techniques via replication and exercises. This text will be a valuable resource for advanced students of econometrics, spatial planning and regional science. It will also be suitable for researchers and data scientists working with spatial data.
Download or read book Ecological Inference written by Gary King and published by Cambridge University Press. This book was released on 2004-09-13 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing upon the recent explosion of research in the field, a diverse group of scholars surveys the latest strategies for solving ecological inference problems, the process of trying to infer individual behavior from aggregate data. The uncertainties and information lost in aggregation make ecological inference one of the most difficult areas of statistical inference, but these inferences are required in many academic fields, as well as by legislatures and the Courts in redistricting, marketing research by business, and policy analysis by governments. This wide-ranging collection of essays offers many fresh and important contributions to the study of ecological inference.
