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平滑转移空间自回归模型下IV方法参数估计值的一致性研究

• 出版日期:2018-04-25 发布日期:2018-04-25

Research on the Consistency of IV Estimator under Smooth Transition Spatial Autoregressive Models

GuoGuangyuan et al.

• Online:2018-04-25 Published:2018-04-25

Abstract: In this paper, we study a nonlinear form of the spatial auto-regression model: Smooth Transition Spatial Autoregressive Model (STSAR). In this model, the space term is nonlinearly related to the transition variables, which can not only describe the correlation between individuals, but also depict the changes of such correlations. Based on instrument variable methods (IV), firstly we discuss some properties of the Logistic STSAR (LSTSAR) and Exponential STSAR (ESTSAR), then make a comparative analysis with such two models, and give a detailed introduction of these models’ specification and estimation. Provided that certain regularity conditions are met, we show that the IV estimators are consistent. Moreover, Monte Carlo simulations also fairly support our propositions.