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含高阶网络相互依赖的多元面板Probit贝叶斯估计：广东企业全球市场参与AI 解读

Summary This paper proposes a Bayesian estimation framework for panel data sets with binary dependent variables where a large number of cross‐sectional units are observed over a short period of time and cross‐sectional units are interdependent in more than a single network domain. The latter provides for a substantial degree of flexibility towards modeling the decay function in network neighborliness (e.g., by disentangling the importance of rings of neighbors) or towards…

空间横截面与面板模型的同方差诊断检验AI 解读

We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a genuine (quasi) score vector is available, the AQS–OPMD method leads to finite sample improved tests over the usual…

含内生回归变量的异质面板中的结构变化AI 解读

Summary This paper extends Pesaran's ( Econometrica , 2006, 74 , 967–1012) common correlated effects (CCE) by allowing for endogenous regressors in large heterogeneous panels with unknown common structural changes in slopes and error factor structure. Since endogenous regressors and structural breaks are often encountered in empirical studies with large panels, this extension makes Pesaran's CCE approach empirically more appealing. In addition to allowing for slope…

基于 ε 污染的稳健线性静态面板模型AI 解读

The paper develops a general Bayesian framework for robust linear static panel data models usingε-contamination. A two-step approach is employed to derive the conditional type-II maximum likelihood (ML-II) posterior distribution of the coefficients and individual effects. The ML-II posterior means are weighted averages of the Bayes estimator under a base prior and the data-dependent empirical Bayes estimator. Two-stage and three stage hierarchy estimators are developed and…

Firpo、Fortin 与 Lemieux（2009）无条件分位数回归的复现AI 解读

Summary This paper is a narrow replication of Firpo, Fortin and Lemieux (Unconditional quantile regressions. Econometrica 2009; 77(3): 953–973), who propose a new estimation method, called ‘unconditional quantile regressions’. Using their empirical example, we confirm their results for the effects of unionization on US wage inequality during the period 1983–1985 for both conditional and unconditional quantile regressions. In addition, this paper applies the proposed…

存在结构突变的异质面板估计AI 解读

This paper extends Pesaran’s (2006) work on common correlated effects (CCE) estimators for large heterogeneous panels with a general multifactor error structure by allowing for unknown common structural breaks. Structural breaks due to new policy implementation or major technological shocks, are more likely to occur over a longer time span. Consequently, ignoring structural breaks may lead to inconsistent estimation and invalid inference. We propose a general framework that…

中国化工行业的企业生产率溢出：空间 Hausman–Taylor 方法AI 解读

Summary This paper assesses intra‐sectoral spillovers in total factor productivity (TFP) across Chinese producers in the chemical industry using panel data on 12,552 firms observed over 2004‐2006. We specify TFP as a composite of observable factors such as export market participation, foreign as well as public ownership, the extent of accumulated intangible assets, and unobservable components. We introduce spatial spillovers in TFP through contextual effects of observable…

巴黎住房特征价格：含嵌套随机效应的非平衡空间滞后伪面板模型AI 解读

Summary This paper estimates a hedonic housing model based on flats sold in the city of Paris over the period 1990–2003. This is done using maximum likelihood estimation, taking into account the nested structure of the data. Paris is historically divided into 20 arrondissements , each divided into four quartiers (quarters), which in turn contain between 15 and 169 blocks ( îlot , in French) per quartier . This is an unbalanced pseudo‒panel data containing 156,896…

The robustness of the Lagrange Multiplier (LM) tests for spatial error dependence of Burridge (1980) and Born and Breitung (2011) for the linear regression model, and Anselin (1988) and Debarsy and Etur (2010) for the panel regression model with random or fixed effects are examined. While all tests are asymptotically robust against distributional mis‐specification, their finite sample behaviour may be sensitive to the spatial layout. To overcome this shortcoming,…

固定效应面板模型中横截面依赖的拉格朗日乘子检验AI 解读

It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n) is large and the number of time periods (T) is small. In fact, a scaled version of this LM test was proposed by Pesaran (2004) and its finite sample bias was corrected by Pesaran et al. (2008). This was done in the context of a heterogeneous…

随机效应面板模型中的异方差与序列相关检验AI 解读

This paper considers a panel data regression model with heteroskedastic as well as serially correlated disturbances, and derives a joint LMÂ test for homoskedasticity and no first order serial correlation. The restricted model is the standard random individual error component model. It also derives a conditional LM test for homoskedasticity given serial correlation, as well as, a conditional LM test for no first order serial correlation given heteroskedasticity, all in the…

摘要暂缺

面板数据模型中的异质性与截面依赖：理论与应用专题导言AI 解读

Abstract The papers included in this special issue are primarily concerned with the problem of cross section dependence and heterogeneity in the analysis of panel data models and their relevance in applied econometric research. Cross section dependence can arise due to spatial or spill over effects, or could be due to unobserved (or unobservable) common factors. Much of the recent research on non‐stationary panel data have focussed on this problem. It was clear that the…

用系统估计重新推导 Mundlak 的固定效应结果AI 解读

Mundlak (1978, Econometrica 46, 69–85) showed that the fixed effects estimator can be obtained as generalized least squares (GLS) for a panel regression model where the individual effects are random but are all hopelessly correlated with the regressors. This result was obtained by partitioned inversion after substituting the reduced form expression for the individual effects as a function of the means of all the regressors. This note shows that Mundlak's result can be…

等权重下的随机效应与空间自相关AI 解读

This note considers a panel data regression model with spatial autoregressive disturbances and random effects where the weight matrix is normalized and has equal elements. This is motivated by Kelejian, Prucha, and Yuzefovich (2005, Journal of Regional Science, forthcoming), who argue that such a weighting matrix, having blocks of equal elements, might be considered when units are equally distant within certain neighborhoods but unrelated between neighborhoods. We derive a…

利用北卡罗来纳州面板数据估计犯罪经济模型AI 解读

Abstract This paper replicates the Cornwell and Trumbull ( 1994 ) estimation of a crime model using panel data on 90 counties in North Carolina over the period 1981–1987. While the Between and Within estimates are replicated, the fixed effects 2SLS as well as the 2SLS estimates are not. In fact, the fixed effects 2SLS estimates turn out to be insignificant for all important deterrent variables as well as legal opportunity variables. We argue that the usual Hausman test,…

04.1.1 基于固定效应与误差成分两阶段最小二乘差异的 Hausman 检验AI 解读

A Hausman test based on the difference between fixed effects two-stage least squares and error components two-stage least squares.

摘要暂缺

不完整面板下的联立方程估计AI 解读

This paper compares the performance of several single and system estimators of a two equation simultaneous model with unbalanced panel data. The Monte Carlo design varies the degree of unbalancedness in the data and the variance components ratio due to the individual effects. One useful result for applied researchers is that the feasible error components 2SLS and 3SLS procedures based on simple ANOVA type estimators of the variance components perform well with incomplete…

具有 AR(1) 扰动的不等间隔面板数据回归AI 解读

This paper deals with the estimation of unequally spaced panel data regression models with AR(1) remainder disturbances. A feasible generalized least squares (GLS) procedure is proposed as a weighted least squares that can handle a wide range of unequally spaced panel data patterns. This procedure is simple to compute and provides natural estimates of the serial correlation and variance components parameters. The paper also provides a locally best invariant test for zero…

摘要暂缺

具有一般 MA(q) 扰动的误差成分模型估计AI 解读

This paper provides a simple estimation method for an error component regression model with general MA( q ) remainder disturbances. The estimation method utilizes the transformation derived by Baltagi and Li [3] for an error component model with autoregressive remainder disturbances, and a standard orthogonalizing algorithm for the general MA( q ) model. This estimation method is computationally simple utilizing only least-squares regressions. This is important for panel…

含误差分量的联立方程估计札记AI 解读

Baltagi [3] derived 2SLS and 3SLS analogues for a simultaneous equation model with error components. These were denoted by EC2SLS and EC3SLS. More recently, Balestra and Varadharajan-Krishnakumar [1] derived alternative 2SLS and 3SLS analogues; these were denoted by G2SLS and G3SLS. This note explains the relationship between these estimators and shows that the set of instruments employed by Balestra and Varadharajan-Krishnakumar is a subset of those used in Baltagi. In…

面板数据的有效估计：工具变量估计量的经验比较AI 解读

Abstract This paper attempts a replication of the Cornwell and Rupert (1988) study—hereafter CR. The CR study investigated the efficiency gains in a returns to schooling example by applying alternative sets of instrumental variables estimators for panel data regressions proposed by Hausman and Taylor (1981), Amemiya and MaCurdy (1986), and Breusch, Mizon, and Schmidt (1989). Corrections on the CR data set lead to changes in the legitimate set of instruments, when the time…