文章摘要
刘玉,唐礼智.时空动态半参数变系数随机效应面板模型的估计[J].数量经济技术经济研究,2018,(2):131-149
时空动态半参数变系数随机效应面板模型的估计
Estimation of Space time Dynamic Semi parametric Varying coefficient Panel Model with Random Effects
  
DOI:
中文关键词: 半参数  变系数  时空动态  随机效应
英文关键词: Semi parametric  Varying coefficient  Space time Dynamic  Random Effect
基金项目:
作者单位
刘玉 厦门大学经济学院统计系 
唐礼智 厦门大学经济学院统计系 
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中文摘要:
      研究目标:克服半参数变系数面板模型中扰动项和因变量存在时空动态性问题。研究方法:提出一类更加一般化的时空动态半参数变系数随机效应面板模型,并构建截面似然估计量。研究发现:估计量具有良好的小样本性质,估计误差随着样本总量的提高而减小,在Case空间矩阵下,空间滞后和时空滞后系数的估计精度随空间复杂度的增大而降低,用该方法分析我国外商直接投资、知识产权保护与经济增长关系,进一步证实了模型的适用性。研究创新:证明了估计量满足一致性和渐近正态性,数值模拟考察了估计量的小样本性质。研究价值:拓展了现有半参数变系数空间面板模型的形式,增强了模型的适用性和解释力,有益于经济问题实证研究的开展。
英文摘要:
      Research Objectives:This paper is to solve the space time dynamics of random error term and dependent variable in semi parametric varying coefficient panel modelResearch Methods:This paper proposes a more generalized space time dynamic semi parametric varying coefficient random effect panel model and constructs profile likelihood estimatorsResearch Findings:All estimators have good small sample properties and the estimation error decreases with the increase of the total sample sizeUnder the Case spatial weight matrix,the estimation accuracy of the spatial lag and the space time lag coefficient decreases with the increase of the spatial complexityBy using this method to analyze the relationship between foreign direct investment,intellectual property protection and economic growth in China,we further confirm the applicability of this modelResearch Innovations:The consistency and asymptotic normality of the estimators are proved,and the small sample properties of the estimators are examined by numerical simulationsResearch Value:The research extends the form of the existing semi parametric varying coefficient spatial panel models and enhances the applicability and explanatory power,which is beneficial to the empirical research of economic problems.
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