内生初始假定下动态空间固定效应模型的拟极大似然估计

Quasi Maximum Likelihood Estimation of A Dynamic Spatial Fixed Effect Model Based on Endogenous Initial Value

本文提出了基于初始值为内生确定下的动态空间固定效应模型,综合考虑了可直接观测和不可直接观测或无法观测的空间效应;推导了模型参数拟极大似然估计量具有的渐近性质及其渐近分布。对参数估计量性质的模拟检验结果表明,似然估计量的渐近性质随着样本容量的增加而改善,且其改善程度对时间维度变化较对空间维度变化更为敏感,在空间单元限定情形下有效增加时间维度可以显著改善估计量性质。中国省域经济收敛性的实证案例分析结果显示,本文构建的综合考虑双重空间结构的空间计量模型具有适用性和合理性。

Considering both observable and unobservable spatial effects,this paper constructs and estimates a dynamic fixed effect model based on endogenous initial value.The simulation test shows that,the asymptotic characteristics of QMLE improve as the sample size grows,and which seems more sensitive to time than to space change.The empirical results from convergence analysis of China＇s provincial economy validate the applicability and rationality of the dynamic spatial model which considers both SAR and SEM structure.