通知公告
首页»
通知公告
通知公告
2月26日 Seminar--邓莹博士
发布时间：2013-02-25
浏览量：
时间：2月26日（周二）上午9点
地点：后主楼1610
题目：EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects
Abstract
This paper derives a 3SLS estimator for a simultaneous system of spatial autoregressive equations with random e¤ects which can therefore handle endoegeneity, spatial lag dependence, heterogeneity as well as cross equation correlation. This is done by utilizing the Kelejian and Prucha (1998) and Lee (2003) type instruments from the cross-section spatial autoregressive literature and marrying them to the error components 3SLS estimator derived by Baltagi (1981) for a system of simultaneous panel data equations. Our Monte Carlo experiments indicate that, for the single equation spatial error components 2SLS estimators, there is a slight gain in e¢ ciency when Lee (2003) type rather than Kelejian and Prucha (1998) instruments are used. However, there is not much di¤erence in e¢ ciency between these instruments for spatial error components 3SLS estimators.
Key Words: Panel Data; Spatial Model; Simultaneous Equations;Three Stage Least Squares; Error Components
Introduction of the presenter
Dr. Deng Ying is a Ph.D candidate in Economics at Syracuse University. Her areas of specialization are theoretical and applied econometrics, with primary focuses on estimation and inference using spatial economic models. Dr. Deng has extensive experience in conducting simulations and working with large empirical datasets along with a solid foundation in economics, econometrics and statistics training.