Spatiotemporal Autoregressive Models for Areal Compositional Data
区域组成数据的时空自回归模型AI 解读 ↓
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区域组成数据的时空自回归模型AI 解读 ↓
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Compositional data, such as regional shares of economic sectors or property transactions, are central to understanding structural change in economic systems across space and time. This paper introduces a spatiotemporal multivariate autoregressive model tailored for panel data with composition-valued responses at each areal unit and time point. The proposed framework enables the joint modelling of temporal dynamics and spatial dependence under compositional constraints, and is estimated via a quasi-maximum likelihood approach. We build on recent theoretical advances to establish the identifiability and asymptotic properties of the estimator as both the number of regions and the number of time points grow. The utility and flexibility of the model are demonstrated through two applications: analysing property transaction compositions in an intra-city housing market (Berlin), and regional sectoral compositions in Spain's economy. These case studies highlight how the proposed framework captures key features of spatiotemporal economic processes that are often missed by conventional methods.
含结构变化的空间面板数据模型
Spatial panel data models have gained widespread application in social sciences, particularly in economics, due to their ability to capture spatial dependencies. However, existing studies on spatial models typically rely on the assumption of parameter stability, which may be overly restrictive given the well-documented prevalence of structural changes in economic relationships. This paper addresses this limitation by proposing and analyzing spatial panel data models that…
含固定效应与时变系数的半参数空间自回归面板模型
This article considers a semiparametric spatial autoregressive (SAR) panel data model with fixed effects and time-varying coefficients. The time-varying coefficients are allowed to follow unknown functions of time, while the other parameters are assumed to be unknown constants. We propose a local linear quasi-maximum likelihood estimation method to obtain consistent estimators for the SAR coefficient, the variance of the error term, and the nonparametric time-varying…
固定效应空间动态面板的估计:空间协整情形
Yu et al. (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with fixed effects when both the number of individuals n and the number of time periods T are large. This paper investigates unstable cases where there are unit roots generated by temporal and spatial correlations. We focus on the spatial cointegration model where some eigenvalues of the data generating process are equal to 1 and the outcomes of…
事件研究中的时变异质性处理效应
This paper examines the identification and estimation of heterogeneous treatment effects in event studies, emphasizing the importance of both lagged dependent variables and treatment effect heterogeneity. We show that omitting lagged dependent variables can induce omitted variable bias in the estimated time-varying treatment effects. We develop a novel semiparametric approach based on a short-T dynamic linear panel model with correlated random coefficients, where the…
固定效应动态空间面板模型与脉冲响应分析
Real data often have complicated correlations over cross section and time. Such correlations are of particular interests in empirical studies. This paper considers using high order spatial lags and high order time lags to model complicated correlations over cross section and time. We propose to use the quasi maximum likelihood (QML) method to estimate the model. We establish the asymptotic theory of the quasi maximum likelihood estimator (QMLE), including the consistency and…
内生时变空间权重下空间动态面板模型的拟极大似然估计
In spatial panel data models, when a spatial weights matrix is constructed from economic or social distance, spatial weights could be endogenous and also time varying. This paper presents model specification and proposes QMLE estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices. Asymptotic properties of the proposed QMLE are rigorously established. We extend the notion of spatial near-epoch dependence to allow time dependence.…