Recently, the paper "Identification and QML Estimation of Multivariate and Simultaneous Equations Spatial Autoregressive Models" of SOE Assistant Professor Kai Yang, co-authored with SOE Special-term Professor Lung-fei Lee, got published in the Journal of Econometrics.
This paper investigates a simultaneous equations spatial autoregressive model which incorporates simultaneity effects, own-variable spatial lags and cross-variable spatial lags as explanatory variables, and allows for correlation between disturbances across equations. In exposition, they also discuss a multivariate spatial autoregressive model that can be treated as a reduced form of the simultaneous equations model. They study parameter spaces, parameter identification, asymptotic properties of the quasi-maximum likelihood estimation, and computational issues. Monte Carlo experiments illustrate the advantages of the QML, broader applicability and efficiency, compared to instrumental variables based estimation methods in the existing literature.
The school encourages faculty members' commitment to and efforts in high-quality original research work, and strives to provide a favorable academic environment by organizing various academic activities, such as seminars and workshops. In the first quarter of 2017, a steady flow of papers by SOE faculty members were published (or accepted) in authoritative international economics journals, among which seven were in tier-1 journals.
This paper investigates a simultaneous equations spatial autoregressive model which incorporates simultaneity effects, own-variable spatial lags and cross-variable spatial lags as explanatory variables, and allows for correlation between disturbances across equations. In exposition, they also discuss a multivariate spatial autoregressive model that can be treated as a reduced form of the simultaneous equations model. They study parameter spaces, parameter identification, asymptotic properties of the quasi-maximum likelihood estimation, and computational issues. Monte Carlo experiments illustrate the advantages of the QML, broader applicability and efficiency, compared to instrumental variables based estimation methods in the existing literature.
The school encourages faculty members' commitment to and efforts in high-quality original research work, and strives to provide a favorable academic environment by organizing various academic activities, such as seminars and workshops. In the first quarter of 2017, a steady flow of papers by SOE faculty members were published (or accepted) in authoritative international economics journals, among which seven were in tier-1 journals.
