• •

### 短面板约束下固定效应空间动态面板模型的估计与模拟

• 出版日期:2019-09-25 发布日期:2019-09-25

### Estimation and Simulation of Fixed-effect Spatial Dynamic Panel Data Model with Short Panels

Tao Changqi & Xu Mo

• Online:2019-09-25 Published:2019-09-25

Abstract: The initial value of the explanatory variable in the spatial dynamic panels data (SDPD) model is very prone to be endogenous. The general quasi maximum likelihood (QML) method is easy to cause parameter estimation bias, when sample structure is large n and small T. In view of this, based on the general QML method, the expression of the quasi likelihood function is modified to obtain the modified QML by reconstructing the variance-covariance matrix of the error term. It is applied to the estimation of fixed-effects SDPD model with short panels that incorporates three types of associations of space, time and error, and then the general QML and modified QML estimation results are tested based on numerical simulation and example application. The numerical simulation shows that the modified QML is more accurate and more robust than the general QML, and the mean square error correction rate increases with the increase of the sample structure. The example application not only re-evaluated the spatial effects between environmental regulation and technological innovation, but the regression results again confirmed the conclusions drawn from numerical simulations.