Panel data models with spatially correlated and heteroscedastic innovations: large and small sample results
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
2007
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Frankfurt am Main, Univ., Diss., 2007 |
| Beschreibung: | X, 227 S. graph. Darst. 21 cm |
Internformat
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Datensatz im Suchindex
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| adam_text | PANEL DATA MODELS WITH SPATIALLY CORRELATED AND HETEROSCEDASTIC
INNOVATIONS: LARGE AND SMALL SAMPLE RESULTS INAUGURAL-DISSERTATION ZUR
ERIANGUNG DES DOKTORGRADES DES FACHBEREICHS WIRTSCHAFTSWISSENSCHAFTEN
DER JOHANN WOLFGANG GOETHE-UNIVERSITAT FRANKFURT AM MAIN VORGELEGT VOTI:
DIPL.-KFM. PAULO JORGE MAURICIO RODRIGUES AUS DARMSTADT JULI, 2007 TABLE
OF CONTENTS 1 INTRODUCTION 1 2 PANEL DATA MODELS AND SPATIAL
ECONOMETRICS 6 2.1 PANEL DATA LITERATURE 7 2.1.1 HOW TO CONTROL FOR
UNOBSERVED HETEROGENEITY 8 2.1.2 MODELS WITH STRICT EXOGENOUS VARIABLES
10 2.1.3 MODELS WITH PREDETERMINED VARIABLES 13 2.1.4 BETWEEN RANDOM AND
FIXED EFFECTS 17 2.1.5 SUMMARY 21 2.2 SPATIAL MODELLING 22 2.2.1 HOW TO
MODEL SPATIAL AUTOCORRELATION 23 2.2.2 THE SPATIAL WEIGHTING MATRIX 25
2.2.3 MAXIMUM LIKELIHOOD ESTIMATION 29 2.2.4 GENERALIZATION TO A PANEL
MODEL 31 2.2.5 SUMMARY 33 3 THE MODEL: ASSUMPTIONS AND IMPLICATIONS 34
3.1 SPECIFICATION AND ASSUMPTIONS 34 3.2 IMPLICATIONS OF THE ASSUMPTIONS
37 3.3 TRANSFORMING THE MODEL 39 IV 4 ESTIMATION OF SPATIAL PANEL DATA
MODELS 42 4.1 ESTIMATION OF THE SPATIAL AUTOREGRESSIVE PARAMETER N .
. . . 42 4.1.1 UNDERLYING MOMENTS AND ESTIMATOR 42 4.1.2 CONSISTENCY OF
THE ESTIMATOR N 45 4.1.3 ASYMPTOTIC DISTRIBUTION OF AJV 47 4.1.4
CONSISTENT ESTIMATOR OF CI^ N 50 4.2 ESTIMATION OF S N 53 4.2.1 CHOOSING
THE INSTRUMENTS 53 4.2.2 GMM ESTIMATOR 55 4.2.3 COCHRANE-ORCUTT-TYPE
TRANSFORMATION 58 4.2.4 JOINT ASYMPTOTIC DISTRIBUTION OF ESTIMATORS FOR
N AND S N 60 5 SMALL SAMPLE ANALYSIS OF THE PROPOSED ESTIMATION METHOD
62 5.1 MONTE CARLO SIMULATION UNDER THE ASSUMPTION OF STRONG EX- OGENOUS
REGRESSORS 63 5.1.1 EXPERIMENTAL DESIGN 63 5.1.2 ESTIMATORS UNDER
CONSIDERATION 65 5.1.3 RESULTS 66 5.2 MONTE CARLO SIMULATION UNDER THE
ASSUMPTION OF WEAK EX- OGENOUS REGRESSORS 82 5.2.1 EXPERIMENTAL DESIGN
82 5.2.2 ESTIMATORS UNDER CONSIDERATION 83 5.2.3 RESULTS 83 6 CONCLUSION
AND OUTLOOK 97 A ADDITIONAL MATERIAL FOR CHAPTER 4 99 A.I DERIVATION OF
THE MOMENT CONDITIONS GIVEN IN SECTION 4.1.1 . 99 A.2 SOME USEFUL
LEMMATA 100 V A.3 PROOF OF THEOREM 1 115 A.4 PROOF OF THEOREM 2 117 A.5
PROOF OF THEOREM 3 120 A.6 PROOF OF THEOREM 4 120 A.7 PROOF OF LEMMA
4.2.1 121 A.8 PROOF OF THEOREM 5 122 A.9 PROOF OF LEMMA 4.2.2 122 A.10
PROOF OF THEOREM 6 123 A.11 PROOF OF THEOREM 7 123 A.12 CENTRAL LIMIT
THEOREM FOR VECTORS OF LINEAR QUADRATIC FORMS124 B ADDITIONAL MATERIAL
FOR CHAPTER 5 126 B.I RESULTS FOR STRONG EXOGENOUS REGRESSORS 126 B.I.I
TABLES 126 B.1.2 FIGURES 156 B.2 RESULTS FOR WEAK EXOGENOUS REGRESSORS
173 B.2.1 TABLES 173 B.2.2 FIGURES 202 BIBLIOGRAPHY 219 VI
|
| adam_txt |
PANEL DATA MODELS WITH SPATIALLY CORRELATED AND HETEROSCEDASTIC
INNOVATIONS: LARGE AND SMALL SAMPLE RESULTS INAUGURAL-DISSERTATION ZUR
ERIANGUNG DES DOKTORGRADES DES FACHBEREICHS WIRTSCHAFTSWISSENSCHAFTEN
DER JOHANN WOLFGANG GOETHE-UNIVERSITAT FRANKFURT AM MAIN VORGELEGT VOTI:
DIPL.-KFM. PAULO JORGE MAURICIO RODRIGUES AUS DARMSTADT JULI, 2007 TABLE
OF CONTENTS 1 INTRODUCTION 1 2 PANEL DATA MODELS AND SPATIAL
ECONOMETRICS 6 2.1 PANEL DATA LITERATURE 7 2.1.1 HOW TO CONTROL FOR
UNOBSERVED HETEROGENEITY 8 2.1.2 MODELS WITH STRICT EXOGENOUS VARIABLES
10 2.1.3 MODELS WITH PREDETERMINED VARIABLES 13 2.1.4 BETWEEN RANDOM AND
FIXED EFFECTS 17 2.1.5 SUMMARY 21 2.2 SPATIAL MODELLING 22 2.2.1 HOW TO
MODEL SPATIAL AUTOCORRELATION 23 2.2.2 THE SPATIAL WEIGHTING MATRIX 25
2.2.3 MAXIMUM LIKELIHOOD ESTIMATION 29 2.2.4 GENERALIZATION TO A PANEL
MODEL 31 2.2.5 SUMMARY 33 3 THE MODEL: ASSUMPTIONS AND IMPLICATIONS 34
3.1 SPECIFICATION AND ASSUMPTIONS 34 3.2 IMPLICATIONS OF THE ASSUMPTIONS
37 3.3 TRANSFORMING THE MODEL 39 IV 4 ESTIMATION OF SPATIAL PANEL DATA
MODELS 42 4.1 ESTIMATION OF THE SPATIAL AUTOREGRESSIVE PARAMETER \ N .
. . . 42 4.1.1 UNDERLYING MOMENTS AND ESTIMATOR 42 4.1.2 CONSISTENCY OF
THE ESTIMATOR \ N 45 4.1.3 ASYMPTOTIC DISTRIBUTION OF AJV 47 4.1.4
CONSISTENT ESTIMATOR OF CI^ N 50 4.2 ESTIMATION OF S N 53 4.2.1 CHOOSING
THE INSTRUMENTS 53 4.2.2 GMM ESTIMATOR 55 4.2.3 COCHRANE-ORCUTT-TYPE
TRANSFORMATION 58 4.2.4 JOINT ASYMPTOTIC DISTRIBUTION OF ESTIMATORS FOR
\N AND S N 60 5 SMALL SAMPLE ANALYSIS OF THE PROPOSED ESTIMATION METHOD
62 5.1 MONTE CARLO SIMULATION UNDER THE ASSUMPTION OF STRONG EX- OGENOUS
REGRESSORS 63 5.1.1 EXPERIMENTAL DESIGN 63 5.1.2 ESTIMATORS UNDER
CONSIDERATION 65 5.1.3 RESULTS 66 5.2 MONTE CARLO SIMULATION UNDER THE
ASSUMPTION OF WEAK EX- OGENOUS REGRESSORS 82 5.2.1 EXPERIMENTAL DESIGN
82 5.2.2 ESTIMATORS UNDER CONSIDERATION 83 5.2.3 RESULTS 83 6 CONCLUSION
AND OUTLOOK 97 A ADDITIONAL MATERIAL FOR CHAPTER 4 99 A.I DERIVATION OF
THE MOMENT CONDITIONS GIVEN IN SECTION 4.1.1 . 99 A.2 SOME USEFUL
LEMMATA 100 V A.3 PROOF OF THEOREM 1 115 A.4 PROOF OF THEOREM 2 117 A.5
PROOF OF THEOREM 3 120 A.6 PROOF OF THEOREM 4 120 A.7 PROOF OF LEMMA
4.2.1 121 A.8 PROOF OF THEOREM 5 122 A.9 PROOF OF LEMMA 4.2.2 122 A.10
PROOF OF THEOREM 6 123 A.11 PROOF OF THEOREM 7 123 A.12 CENTRAL LIMIT
THEOREM FOR VECTORS OF LINEAR QUADRATIC FORMS124 B ADDITIONAL MATERIAL
FOR CHAPTER 5 126 B.I RESULTS FOR STRONG EXOGENOUS REGRESSORS 126 B.I.I
TABLES 126 B.1.2 FIGURES 156 B.2 RESULTS FOR WEAK EXOGENOUS REGRESSORS
173 B.2.1 TABLES 173 B.2.2 FIGURES 202 BIBLIOGRAPHY 219 VI |
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| spelling | Rodrigues, Paulo Jorge Maurício 1976- Verfasser (DE-588)133351106 aut Panel data models with spatially correlated and heteroscedastic innovations large and small sample results vorgelegt von: Paulo Jorge Maurício Rodrigues 2007 X, 227 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Frankfurt am Main, Univ., Diss., 2007 Stichprobenumfang (DE-588)4183251-6 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Statistik (DE-588)4056995-0 s Stichprobenumfang (DE-588)4183251-6 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016219671&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Rodrigues, Paulo Jorge Maurício 1976- Panel data models with spatially correlated and heteroscedastic innovations large and small sample results Stichprobenumfang (DE-588)4183251-6 gnd Statistik (DE-588)4056995-0 gnd |
| subject_GND | (DE-588)4183251-6 (DE-588)4056995-0 (DE-588)4113937-9 |
| title | Panel data models with spatially correlated and heteroscedastic innovations large and small sample results |
| title_auth | Panel data models with spatially correlated and heteroscedastic innovations large and small sample results |
| title_exact_search | Panel data models with spatially correlated and heteroscedastic innovations large and small sample results |
| title_exact_search_txtP | Panel data models with spatially correlated and heteroscedastic innovations large and small sample results |
| title_full | Panel data models with spatially correlated and heteroscedastic innovations large and small sample results vorgelegt von: Paulo Jorge Maurício Rodrigues |
| title_fullStr | Panel data models with spatially correlated and heteroscedastic innovations large and small sample results vorgelegt von: Paulo Jorge Maurício Rodrigues |
| title_full_unstemmed | Panel data models with spatially correlated and heteroscedastic innovations large and small sample results vorgelegt von: Paulo Jorge Maurício Rodrigues |
| title_short | Panel data models with spatially correlated and heteroscedastic innovations |
| title_sort | panel data models with spatially correlated and heteroscedastic innovations large and small sample results |
| title_sub | large and small sample results |
| topic | Stichprobenumfang (DE-588)4183251-6 gnd Statistik (DE-588)4056995-0 gnd |
| topic_facet | Stichprobenumfang Statistik Hochschulschrift |
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