Spatial weights matrix selection and model averaging for multivariate spatial autoregressive models
多元空间自回归模型的空间权重矩阵选择与模型平均
In this paper, we focus on the model specification problem in multivariate spatial econometric models when a candidate set for the spatial weights matrix is available. We propose a model selection method for the multivariate spatial autoregressive model, when the true spatial weights matrix may not be in the candidates. We show that the selected estimator is asymptotically optimal in the sense of minimizing the squared loss. If the candidate set contains the true spatial…