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A SPATIAL CLIFF-ORD-TYPE MODEL WITH HETEROSKEDASTIC INNOVATIONS: SMALL AND LARGE SAMPLE RESULTS
SPATIAL CLIFF-ORD-TYPE MODEL HETEROSKEDASTIC INNOVATIONS SMALL AND LARGE SAMPLE RESULTS
2015/9/24
In this paper, we specify a linear Cliff-and-Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the dist...
Spatial models with spatially lagged dependent variables and incomplete data
Spatial models Missing data Instrumental variable estimation
2015/9/24
The purpose of this paper is to suggest estimators for the parameters of spatial models containing a spatially lagged dependent variable, as well as spatially lagged independent variables, and an inco...
Central limit theorems and uniform laws of large numbers for arrays of random fields
Random field Spatial process Central limit theorem Uniform law of large numbers Law of large numbers
2015/9/24
Over the last decades, spatial-interaction models have been increasingly used in economics. However, the development of a sufficiently general asymptotic theory for nonlinear spatial models has been h...
The relative efficiencies of various predictors in spatial econometric models containing spatial lags
Spatial models with spatial lags Optimal and suboptimal prediction efficiencies BLUP Kriging
2015/9/24
The purpose of this paper is to describe prediction efficiencies of various suboptimal predictors relative to the efficient (kriging) minimum mean square error predictor in spatial models containing s...
Finite sample properties of estimators of spatial autoregressive models with autoregressive disturbances
Spatial autoregressive models ordinary least squares two-stage least squares maximum likelihood finite sample distribution
2015/9/24
The article investigates the finite sample properties of estimators for spatial autoregressive models where the disturbance terms may follow a spatial autoregressive process. In particular we investig...
2SLS and OLS in a spatial autoregressive model with equal spatial weights
Spatial autoregressive models Row normalized and equal spatial weights Ordinary least squares Two stage least squares Panel data
2015/9/24
The paper considers a Cliff–Ord type spatial model with a spatially lagged dependentvariable and a row normalized weighting matrix with equal weights. We show that the 2SLSand OLS estimators are incon...
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Spatial dependence Heteroskedasticity Cliff–Ord model Two-stage least squares Generalized moments estimation Asymptotics
2015/9/24
This study develops a methodology of inference for a widely used Cliff–Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while a...
On spatial processes and asymptotic inference under near-epoch dependence
Random fields Near-epoch dependent processes Central limit theorem Law of large numbers GMM estimator
2015/9/24
The development of a general inferential theory for nonlinear models with cross-sectionally or spatially dependent data has been hampered by a lack of appropriate limit theorems. To facilitate a gener...
Spatial spillovers in the development of institutions
Institutions Spatial econometrics Governance Neighborhood effects Spatial spillovers
2015/9/22
We examine spatial spillovers in institutional development. Dependent variables are institutional measures reflecting politics, law, and governmental administration. The explanatory variable of intere...
We consider the following problem. There is a structural equation of interest that contains an explanatory variable that theory predicts is endogenous. There are one or more instrumental variables tha...
Multiperiod Optimization in Economic Systems with Unknown Parameters
Multiperiod Optimization Economic Systems
2015/8/5
Multiperiod Optimization in Economic Systems with Unknown Parameters.
Asymptotic Properties of Multiperiod Control Rules in the Linear Regression Model
Asymptotic Properties Multiperiod Control Rules
2015/8/5
This is the value of the control rule which would be used if one treated ,d as
known with certainty and equal to the least squares estimate. We call this rule
the least squares certainty equivalence...
A Criterion for Multiperiod Controls in Economic Models with Unknown Parameters
Multiperiod Controls Economic Models
2015/8/5
A Criterion for Multiperiod Controls in Economic Models with Unknown Parameters.
The Deterrence Controversy: A Reconsideration of the Time Series Evidence
Deterrence Controversy Time Series Evidence
2015/8/5
The Deterrence Controversy: A Reconsideration of the Time Series Evidence.
Some Experimental Results on the Statistical Properties of Least Squares Estimates in Control Problems
Statistical Properties Control Problems
2015/8/5
The statistical properties of the certainty equivalence control rule and of the least squares
estimates generated by this rule are examined experimentally in a linear model with two
unknown paramete...