A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation
The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effect...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-04-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/9/8/883 |
| _version_ | 1797537478680248320 |
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| author | Yaqing Liu Hongbing Ouyang Xiaolu Wei |
| author_facet | Yaqing Liu Hongbing Ouyang Xiaolu Wei |
| author_sort | Yaqing Liu |
| collection | DOAJ |
| description | The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures. |
| first_indexed | 2024-03-10T12:15:40Z |
| format | Article |
| id | doaj.art-b40a5126db074e9ab303fe8570e6d386 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T12:15:40Z |
| publishDate | 2021-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-b40a5126db074e9ab303fe8570e6d3862023-11-21T15:51:55ZengMDPI AGMathematics2227-73902021-04-019888310.3390/math9080883A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its SimulationYaqing Liu0Hongbing Ouyang1Xiaolu Wei2School of Medicine and Health Management, Tongji Medical College, Huazhong University of Science & Technology, Hangkong Road 13, Wuhan 430030, ChinaSchool of Economics, Huazhong University of Science & Technology and Wenhua College, Luoyu Road 1037, Wuhan 430074, ChinaSchool of Business, Hubei University, Youyi Road 368, Wuhan 430062, ChinaThe existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures.https://www.mdpi.com/2227-7390/9/8/883spatial panel datastructural vector autoregressive modelinteractive effects |
| spellingShingle | Yaqing Liu Hongbing Ouyang Xiaolu Wei A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation Mathematics spatial panel data structural vector autoregressive model interactive effects |
| title | A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation |
| title_full | A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation |
| title_fullStr | A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation |
| title_full_unstemmed | A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation |
| title_short | A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation |
| title_sort | spatial panel structural vector autoregressive model with interactive effects and its simulation |
| topic | spatial panel data structural vector autoregressive model interactive effects |
| url | https://www.mdpi.com/2227-7390/9/8/883 |
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