Large sample properties of the matrix exponential spatial specification with an application to FDI

doi:10.1016/j.jeconom.2015.02.046

CORC > 上海财经大学 > 上海财经大学

	Large sample properties of the matrix exponential spatial specification with an application to FDI
	Debarsy, Nicolas 1; Jin, Fei 2,3; Lee, Lung-fei 4
刊名	JOURNAL OF ECONOMETRICS
	2015-09
卷号	188 期号:1 页码:1-21
关键词	Spatial autocorrelation MESS QML GMM Heteroskedasticity Delta method FDI
ISSN号	0304-4076
DOI	10.1016/j.jeconom.2015.02.046
英文摘要	This paper studies large sample properties of the matrix exponential spatial specification (MESS). We find that the quasi-maximum likelihood estimator (QMLE) for the MESS is consistent under heteroskedasticity, a property not shared by the QMLE of the SAR model. For the general model that has MESS in both the dependent variable and disturbances, labeled MESS(1,1), the QMLE can be consistent under unknown heteroskedasticity when the spatial weights matrices in the two MESS processes are commutative. We also consider the generalized method of moments estimator (GMME). In the homoskedastic case, we derive a best GMME that is as efficient as the maximum likelihood estimator under normality and can be asymptotically more efficient than the QMLE under non-normality. In the heteroskedastic case, an optimal GMME can be more efficient than the QMLE asymptotically. The QML approach for the MESS has the computational advantage over that of a SAR model. The computational simplicity carries over to MESS models with any finite order of spatial matrices. No parameter range needs to be imposed in order for the model to be stable. Results of Monte Carlo experiments for finite sample properties of the estimators are reported. Finally, the MESS(1,1) is applied to Belgium's outward FDI data and we observe that the dominant motivation of Belgium's outward FDI lies in finding cheaper factor inputs. (C) 2015 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000359028200001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1486]
专题	上海财经大学
通讯作者	Debarsy, Nicolas
作者单位	1.CNRS, LEO, UMR 7322, F-45067 Orleans, France; 2.Shanghai Univ Finance & Econ, Sch Econ, Shanghai 200433, Peoples R China; 3.Minist Educ, Key Lab Math Econ SUFE, Shanghai, Peoples R China; 4.Ohio State Univ, Dept Econ, Columbus, OH 43210 USA
推荐引用方式 GB/T 7714	Debarsy, Nicolas,Jin, Fei,Lee, Lung-fei. Large sample properties of the matrix exponential spatial specification with an application to FDI[J]. JOURNAL OF ECONOMETRICS,2015,188(1):1-21.
APA	Debarsy, Nicolas,Jin, Fei,&Lee, Lung-fei.(2015).Large sample properties of the matrix exponential spatial specification with an application to FDI.JOURNAL OF ECONOMETRICS,188(1),1-21.
MLA	Debarsy, Nicolas,et al."Large sample properties of the matrix exponential spatial specification with an application to FDI".JOURNAL OF ECONOMETRICS 188.1(2015):1-21.