空间动态非参数杜宾模型及其应用

本文将研究重点放在一类特殊的空间动态面板数据模型——空间动态非参数杜宾模型的设定、估计与检验上,以研究不同空间单元之间的非线性影响.为此,本文就固定效应空间动态非参数杜宾模型给出了迭代估计及相应的假设检验方法,并根据蒙特卡罗模拟结果,对迭代估计方法加以改进.通过仿真实验和实证应用,验证了对于固定效应空间动态非参数杜宾模型,尤其是N和T比较大的情形,本文给出的改进方法是稳定有效的.

Spatial dynamic nonparametric Durbin model and its application

To study the nonlinear effects of different spatial units, we focus on the estimation and corresponding hypothesis test of the spatial dynamic nonparametric Durbin model with fixed effects. Since the spatial dynamic nonparametric Durbin model is a special kind of spatial dynamic panel model, we propose an iterative approach and corresponding hypothesis test of the spatial dynamic nonparametric Durbin model with fixed effects at first. Then, based on the results of Monte Carlo simulation, we use a three-stage iterative approach to improve the iterative approach. Through simulation experiments and empirical application, it proves that the three-stage iterative approach is stable and effective for the spatial dynamic nonparametric Durbin model with fixed effects, especially when T and N are large.