Variable Selection for the Spatial Autoregressive Model with Autoregressive Disturbances
نویسندگان
چکیده
منابع مشابه
On Two-step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors
In this paper, we consider a spatial-autoregressive model with autoregressive disturbances, where we allow for endogenous regressors in addition to a spatial lag of the dependent variable. We suggest a two-step generalized method of moments (GMM) and instrumental variable (IV) estimation approach extending earlier work by, e.g., Kelejian and Prucha (1998, 1999). In contrast to those papers, we ...
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Riassunto La scelta tra modelli autoregressivi spaziali richiede non solo l’individuazione delle coordinate non nulle di un modello “saturo”, ma anche la specificazione della struttura di vicinato tra le osservazioni. Si considera un criterio di scelta di tipo BIC, basato su una funzione di pseudo-verosimiglianza penalizzata. Il criterio è (debolmente) consistente sotto ipotesi assai generali. ...
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0 n −1 s t Suppose that there is some true model which generated our time series data, x , . . . , x . Thi rue model is not AR. But we do want to consider using AR models to describe our data, since they a f provide a flexible, estimable, and interpretable class of models. Although the AR models have only ew parameters, the true model presumably has a huge number of parameters (perhaps inf init...
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ژورنال
عنوان ژورنال: Mathematics
سال: 2021
ISSN: 2227-7390
DOI: 10.3390/math9121448