A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation
نویسندگان
چکیده
The existing spatial panel structural vector auto-regressive model can effectively capture the time and dynamic dependence of endogenous variables. However, hypothesis that common factors have same effect for all units is unreasonable. Therefore, incorporating effects, time-individual this paper develops a more general autoregressive with interactive effects (ISpSVAR) reflect different on units. Additionally, based whether or not be observed, proposes procedures to estimate ISpSVAR separately studies finite sample properties estimators by Monte Carlo simulation. simulation results show effectiveness proposed its estimation procedures.
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ژورنال
عنوان ژورنال: Mathematics
سال: 2021
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math9080883