دورية أكاديمية
Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients
| العنوان: | Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients |
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| المؤلفون: | Dou, Baojun, Parrella, Maria Lucia, Yao, Qiwei |
| المساهمون: | Yao, QW (reprint author), London Sch Econ, Dept Stat, Houghton St, London WC2A 2AE, England., London Sch Econ, Dept Stat, Houghton St, London WC2A 2AE, England., Univ Salerno, Dept Econ & Stat, Fisciano, Italy., Peking Univ, Guanghua Sch Management, Beijing, Peoples R China. |
| المصدر: | SCI |
| بيانات النشر: | JOURNAL OF ECONOMETRICS |
| سنة النشر: | 2016 |
| المجموعة: | Peking University Institutional Repository (PKU IR) / 北京大学机构知识库 |
| مصطلحات موضوعية: | alpha-mixing, Dynamic panels, High dimensionality, Least squares estimation, Spatial autoregression, Stationarity, DYNAMIC PANEL-DATA |
| الوصف: | We consider a class of spatio-temporal models which extend popular econometric spatial autoregressive panel data models by allowing the scalar coefficients for each location (or panel) different from each other. To overcome the innate endogeneity, we propose a generalized Yule-Walker estimation method which applies the least squares estimation to a Yule-Walker equation. The asymptotic theory is developed under the setting that both the sample size and the number of locations (or panels) tend to infinity under a general setting for stationary and alpha-mixing processes, which includes spatial autoregressive panel data models driven by i.i.d. innovations as special cases. The proposed methods are illustrated using both simulated and real data. (C) 2016 Elsevier B.V. All rights reserved. ; Italian Ministry of Education, University and Research (MIUR) [prot. 2010J3LZEN]; EPSRC [EP/L01226X/1] ; SCI(E) ; SSCI ; ARTICLE ; q.yao@lse.ac.uk ; 2 ; 369-382 ; 194 |
| نوع الوثيقة: | journal/newspaper |
| اللغة: | English |
| ردمك: | 978-0-00-382596-1 0-00-382596-5 |
| تدمد: | 0304-4076 1872-6895 |
| العلاقة: | JOURNAL OF ECONOMETRICS.2016,194(2),369-382.; 1428346; http://hdl.handle.net/20.500.11897/447914Test; WOS:000382596500014 |
| DOI: | 10.1016/j.jeconom.2016.05.014 |
| الإتاحة: | https://doi.org/20.500.11897/447914Test https://doi.org/10.1016/j.jeconom.2016.05.014Test https://hdl.handle.net/20.500.11897/447914Test |
| رقم الانضمام: | edsbas.95811045 |
| قاعدة البيانات: | BASE |
| ردمك: | 9780003825961 0003825965 |
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| تدمد: | 03044076 18726895 |
| DOI: | 10.1016/j.jeconom.2016.05.014 |