Inference on Dynamic Spatial Autoregressive Models with Change Point Detection
动态空间自回归模型的推断与变点检测AI 解读 ↓
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动态空间自回归模型的推断与变点检测AI 解读 ↓
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We analyze a varying-coefficient spatial autoregressive model with spatial fixed effects. One salient feature of the model is the incorporation of multiple spatial weight matrices through their linear combinations with varying coefficients, which help solve the problem of choosing the most “correct” one for applied econometricians who often face the availability of multiple expert spatial weight matrices. We estimate and make inferences on the model coefficients and coefficients in basis expansions of the varying coefficients through penalized estimations, establishing the oracle properties of the estimators and the consistency of the overall estimated spatial weight matrix, which can be time-dependent. We further consider two applications of our model in change point detections in spatial autoregressive models, providing theoretical justifications in consistent change point locations estimation and practical implementations. Simulation experiments demonstrate the performance of our proposed methodology, and real data analyses are also carried out.
面板模型结构突变下潜在联系结构与溢出效应的恢复
This paper introduces a framework to analyze time-varying spillover effects in panel data. We consider panel models where a unit's outcome depends not only on its own characteristics (private effects) but also on the characteristics of other units (spillover effects). The linkage of units is allowed to be latent and may shift at an unknown breakpoint. We propose a novel procedure to estimate the breakpoint, linkage structure, spillover and private effects. We address the…
动态网络可分离模型的变点检测
This paper studies the unsupervised change point detection problem in time series of networks using the Separable Temporal Exponential-family Random Graph Model (STERGM). Inherently, dynamic network patterns are complex due to dyadic and temporal dependence, and change points detection can identify the discrepancies in the underlying data generating processes to facilitate downstream analysis. In particular, the STERGM that utilizes network statistics and nodal attributes to…
含噪网络测量下时变网络构成与预测依赖的分离
A common question about networked time series is whether outcomes changed because shocks transmit more strongly or because the pattern of connections changed. Standard practice inserts a recorded network into an outcome regression and reads movements of the fitted coefficient as changes in transmission strength. When the network is latent, time varying, and measured with error, this reading fails: changes in strength and changes in composition can produce the same outcome…
用于时变网络的贝叶斯马尔可夫切换张量回归
Modeling time series of multilayer network data is challenging due to the peculiar characteristics of real-world networks, such as sparsity and abrupt structural changes. Moreover, the impact of external factors on the network edges is highly heterogeneous due to edge- and time-specific effects. Capturing all these features results in a very high-dimensional inference problem. A novel tensor-on-tensor regression model is proposed, which integrates zero-inflated logistic…
金融网络动态与持久性的估计:英镑货币市场应用
Summary We propose a novel methodology for dynamic econometric modelling of large financial networks subject to persistence, structural changes and sparsity. We estimate bivariate dynamic Tobit‐type models for each pair of banks, allowing for deterministic or stochastic time‐varying parameters, and then aggregate across all bank pairs. To tackle the high dimensionality of the model, we construct a few lagged variables that efficiently summarize the position of a bank pair in…
网络时间序列中的顶点错位与变点定位
Inference for time series of networks often relies on accurate vertex correspondence between network realizations at different times. In practice, however, such vertex alignments can be misspecified or unknown. We study the impact of vertex alignment on changepoint localization for dynamic networks through two illustrative models, each with a similar changepoint, with the key distinction being whether changepoint information is contained in marginal or joint distributions of…