Seminar Vol. 147

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

Speaker: Kai Yang, Shanghai University of Finance and Economics 

Time: April 28th, 2019 15:00–16:30

Venue: Conference Room 106B, Zhonghui Building (IESR, JNU College of Economics)

About the speaker:

Kai Yang is an Asocciate Professor in the Faculty of Economics at Shanghai University of Finance and Economics. He received a Ph.D. from The Ohio State University in 2016. Kai Yang's main research focus is spatial econometrics and panel data models, and he has published in such international journals as Journal of Econometrics, and Regional Science and Urban Economics.

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.