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Spatial weights matrix selection and model averaging for spatial autoregressive models
Zhang, Xinyu1,2; Yu, Jihai3
AbstractSpatial econometrics relies on the spatial weights matrix to specify the cross-sectional dependence; however, the candidate spatial weights matrices might not be unique. This paper proposes a model selection procedure to choose a weights matrix from several candidates by using a Mallows type criterion. We prove that when the true weights matrix is not in the candidates, the procedure is asymptotically optimal in the sense of minimizing the squared loss; otherwise, the procedure can select the true weights matrix consistently. We then propose a model averaging procedure to reduce the squared loss. We also provide procedures for the spatial model with heteroscedasticity and endogenous regressors and the model with both spatial lag and spatial error. Monte Carlo experiments show that proposed procedures have satisfactory finite sample performances. We apply the model selection and model averaging procedures to study the market integration in China using historical rice prices. (C) 2017 Elsevier B.V. All rights reserved.
KeywordModel averaging Model selection Spatial autoregressive Spatial econometrics
Funding ProjectNational Science Foundation of China[71522004] ; National Science Foundation of China[11471324] ; National Science Foundation of China[71631008] ; National Science Foundation of China[71322105] ; National Science Foundation of China[71532001] ; Ministry of Education of China[17YJC910011] ; Center for Statistical Science of Peking University
WOS Research AreaBusiness & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS SubjectEconomics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS IDWOS:000426023100001
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Document Type期刊论文
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China
3.Peking Univ, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Zhang, Xinyu,Yu, Jihai. Spatial weights matrix selection and model averaging for spatial autoregressive models[J]. JOURNAL OF ECONOMETRICS,2018,203(1):1-18.
APA Zhang, Xinyu,&Yu, Jihai.(2018).Spatial weights matrix selection and model averaging for spatial autoregressive models.JOURNAL OF ECONOMETRICS,203(1),1-18.
MLA Zhang, Xinyu,et al."Spatial weights matrix selection and model averaging for spatial autoregressive models".JOURNAL OF ECONOMETRICS 203.1(2018):1-18.
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