动态双重空间自回归模型与脉冲分析

Dynamic Double Spatial Autoregressive Model and Impulse Response Analysis

动态双重空间自回归模型是空间计量分析中的主要模型之一,并因其一般性在实证研究中得到了广泛的应用.本文为这一模型的计量分析提供了一种新的工具——脉冲响应分析.新的分析工具刻画了被解释变量,在解释变量发生一单位改变时,因为误差项和自变量的空间结构所导致的平均变化.遵循参考LeSageand Pace(2009)的处理思路,本文将效应细分为直接效应、间接效应和总效应,并定义了各个效应的动态变化值以及在时间上的累积值.本文为这些理论值提供了估计方法和推断理论.计算机的模拟试验证实了理论结果,并显示出良好的有限样本性质.我们将新的分析工具应用于中国省际区域经济发展的研究中,并重点考察了人力资本对人均GDP的影响.我们发现人力资本的间接效应脉冲响应函数短期内为正、长期为负,这意味着区域经济体之间,短期是共赢关系、长期是竞争关系.根据这一结论,本文提出了相关的政策建议.

Dynamic double spatial autoregressive(DDSAR)model is one of popular models in spatial econometric analysis,and is widely used in applications for its generality.This paper provides a new tool in a DDSAR model-impluse response analysis.The new tool captures the average change of dependent variable due to one-unit change of explanatory variable and the spatial structure existing in disturbances and dependent variables.Following the classical studies(LeSage and Pace(2009)),we decompose the effect into direct,indirect and total effects,and define the respective dynamic values over time and the accumulated ones.The paper provides the estimation method and inferential theory on these values.Monte Carlo simulations confirm our theoretical results and show good finite-sample performance of the estimators.We apply the new econometric tool to the regional economic development of China,and particularly investigate the nexus of human capital and GDP per capita.We find that the impulse response of indirect effects is positive in the short term and negative over the long term,implying that the relationship of Chinese regional economies are win-win in the short term and competitive over the long term.Policy suggestions are made.