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起讫点流量空间自回归模型的极大似然估计AI 解读

We introduce a spatial autoregressive hurdle model for nonnegative origin–destination flows yN,ij. The model incorporates a hurdle formulation to elucidate the different data-generating processes for zero and positive flows. Our model specifies three types of spatial influences on flow yN,ij that quantify the impact of third-party characteristics on the flow yN,ij: (i) the effect of outflows from origin j, (ii) the effect of inflows to destination i, and (iii) the effect of…

具有跨期优化的空间动态模型：设定与估计AI 解读

In this paper, we introduce a dynamic spatial interaction econometric model. There are n forward-looking agents of whom each has a parametric linear-quadratic payoff, and they interact with their neighbors through a spatial network. Considering a Markov perfect equilibrium (MPE), we derive a unique Nash equilibrium equation and construct a new spatial dynamic panel data (SDPD) model. For estimation, we suggest mainly the quasi-maximum likelihood (QML) method. Asymptotic…

因子预测中差分与不差分的比较AI 解读

Summary This paper studies performance of factor‐based forecasts using differenced and nondifferenced data. Approximate variances of forecasting errors from the two forecasts are derived and compared. It is reported that the forecast using nondifferenced data tends to be more accurate than that using differenced data. This paper conducts simulations to compare root mean squared forecasting errors of the two competing forecasts. Simulation results indicate that forecasting…