题目：Estimation and Diagnostic Test of Dynamic Panel Spatial Vector Autoregression

主讲人：杨凯，上海财经大学经济学院副教授

时间：2019年4月28日，15:00–16:30

地点：暨南大学中惠楼106B室

主讲人介绍：

杨凯，上海财经大学经济学院副教授。2016年于俄亥俄州立大学获得经济学博士学位，2011年于中央财经大学获得经济学学士学位。他的主要研究领域是空间计量经济学、面板数据模型。目前主持一项国家自然科学基金青年项目，在期刊Journal of Econometrics, Regional Science and Urban Economics上发表论文。

Abstract:

This paper introduces dynamic panel spatial vector autoregressive models. We study features that an SVAR model can generate and divide the model into stable or unstable cases by partitioning parameter spaces. For different cases, we investigate identification and a unified QML estimation when simultaneity and correlated relationships occur. Asymptotic properties and bias-corrected estimators are presented. To detect unknown cointegration relationships, we introduce a sequential likelihood ratio testing procedure. Simulations show the advantage of QML estimators on bias reduction and efficiency gains. The empirical application provides evidences on grain market integration.