Spatial weights matrix selection and model averaging for spatial autoregressive models

doi:10.1016/j.jeconom.2017.05.021

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	Spatial weights matrix selection and model averaging for spatial autoregressive models
	Zhang, Xinyu1,2 ; Yu, Jihai 3
	2018-03-01
发表期刊	JOURNAL OF ECONOMETRICS
ISSN	0304-4076
卷号	203 期号:1 页码:1-18
摘要	Spatial 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.
关键词	Model averaging Model selection Spatial autoregressive Spatial econometrics
DOI	10.1016/j.jeconom.2017.05.021
语种	英语
资助项目	National 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研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000426023100001
出版者	ELSEVIER SCIENCE SA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/29727
专题	系统科学研究所
通讯作者	Yu, Jihai
作者单位	1.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
推荐引用方式 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.