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| 随机效应空间滞后单指数面板模型 | |
| 引用本文： | 陈建宝 孙林. 随机效应空间滞后单指数面板模型[J]. 统计研究, 2015, 32(1): 95-101 |
| 作者姓名： | 陈建宝 孙林 |
| 摘 要： | 对随机效应空间滞后单指数面板模型，本文构建了该模型的截面极大似然估计方法，从理论证明和数值模拟两方面分别考察了其估计量的大样本性质和小样本表现。研究结果表明:(1)在大样本条件下，估计量均具有一致性，并且参数估计量具有渐近正态性。(2)在小样本条件下，各估计量依然具有良好的表现，其精度随着样本容量的增加而提高;空间权重矩阵结构的复杂性对空间相关系数的估计量影响较大，但对其他估计量的影响较小。 |
| 关 键 词： | 随机效应 空间滞后单指数面板模型 截面极大似然估计 数值模拟 |
Spatial Lag Single-index Panel Model with Random Effects |
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| Chen Jianbao , Sun Lin. Spatial Lag Single-index Panel Model with Random Effects[J]. Statistical Research, 2015, 32(1): 95-101 | |
| Authors: | Chen Jianbao & Sun Lin |
| Abstract: | In this paper, a profile maximum likelihood estimation method is constructed for a spatial lag single-index panel model with random effects and the large sample properties and finite sample performances of its estimators are studied by theoretical proofs and numerical simulation respectively. The research results are summarized as follows: (1) All estimators have consistency and parametric estimators have asymptotic normality under large sample. (2) All estimators still have good performance under finite sample and their accuracy is improved with the increasing of sample size; the complexity of spatial weighted matrix has remarkable effect on the estimator of spatial correlation coefficient and little effects on the other estimators. |
| Keywords: | Random Effects Spatial Lag Single-index Panel Model Profile Maximum Likelihood Estimation Numerical Simulation |
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