互助问答第75期：动态空间计量模型的估计问题

更新：2023-11-11 19:59:37编辑：tooool归类：安装教程人气：197

您好！使用动态空间计量模型对问题进行估计时，同时使用的是矩估计的方法，如何实现那个AR（1）和AR(2)的检验呢？相应的代码是什么？

今日解答1

AR(1)，AR(2)是用来检验动态面板，如差分或系统GMM是否存在扰动项一阶和二阶自相关的。动态空间计量模型的使用未见推广的这些检验。空间计量中有SAR模型，即空间自相关(回归)模型。动态空间计量，动态空间面板模型的构建与检验仍然处在前沿的研究阶段，Elhost（2010）对Arrelano和bond的差分GMM估计量进行扩展，使其包括一个内生交互效应，且同时发现这种估计量仍然可能存在严重的偏误，特别是Wyt的参数的估计。

Kukenova andMonteiro（2009）、Jacobs et al（2009）同时研究了动态面板数据模型（Yt-1，Wyt-1），并扩展了Blundell and Bond（1998）的系统GMM估计，使之包含内生交互效应（Wyt），前者同时研究了内生解释变量Zt，后者研究了误差项的空间自相关Wt。他们发现系统GMM估计量要优于差分GMM，且减小了参数估计。

动态空间面板模型的stata程序如下：

clear *清空ssc install spregdpd(or spregdhp) *安装spregdpd或spregdhp动态空间面板模板help spregdpd(or spregdhp) *参阅帮助文件（有案例）

help输出：

Title+-------------------------------------------------------------

spregdpd: Spatial Panel Arellano-Bond Linear Dynamic Regression:Lag & Durbin Mo

> dels

Syntax+------------------------------------------------------------

spregdpd depvarindepvars [weight] , nc() wmfile(weight_file)

[ model(sar|sdm)run(xtabond|xtdhp|xtdpd|xtdpdsys) be fe re

lmspac lmhet lmnormdiag tests stand inv inv2 mfx(lin, log)

noconstant

predict(new_var)resid(new_var) inst(vars) diff(vars) endog(vars)

pre(vars)

dgmmiv(varlist) collzero tolog twostep level() vce(vcetype) ]

Model Options +-----------------------------------------------------

1- model(sar) MLE Spatial Panel Lag Model (SAR)

2- model(sdm) MLE Spatial Panel Durbin Model (SDM)

Run Options+-------------------------------------------------------

1- run(xtdhp) [NEW]Han-Philips (2010) Linear Dynamic Panel Regression

2- run(xtabond) [xtabond]Arellano-Bond Linear Dynamic Panel Regression

3- run(xtdpd) [xtdpd]Arellano-Bond (1991) Linear Dynamic Panel Regression

4- run(xtdpdsys) [xtdpdsys] Arellano-Bover/Blundell-Bond (1995, 1998)

System Linear Dynamic Panel Regression

Options+-----------------------------------------------------------

* nc() Number of Cross Sections Units

Time series observationsmust be Balanced in each Cross Section

wmfile(weight_file) OpenCROSS SECTION weight matrix file.

…..

tests display ALLlmh, lmn, lmsp, diag tests

twostep two-step estimate run(xtdpd)

dgmmiv(varlist) GMM Instruments for DifferencedEquation run(xtdpd)

inst(varlist) Additional Instrumental Variablesrun(xtabond)

Dependent Variable Lag length is lag(1)

diff(varlist) Already Differenced ExogenousVariables run(xtabond)

endog(varlist) Endogenous Variables run(xtabond,xtdpdsys)

pre(varlist) Predetermined Variablesrun(xtabond, xtdpdsys)

vce(vcetype) ols,robust, cluster, bootstrap, jackknife, hc2, hc3

level() confidence intervals level; default islevel(95)

Spatial Panel Aautocorrelation Tests+------------------------------

lmspac Spatial Panel Aautocorrelation Tests:

* Ho: Error has NoSpatial AutoCorrelation

Ha: Error has Spatial AutoCorrelation*** Spatial Econometrics Regression Models:--------------------------------------------------------------------------------*** (1) Spatial Panel Data Regression Models:spregxt Spatial Panel Regression Econometric Models:Stata Module Toolkitgs2slsxt Generalized Spatial Panel 2SLS Regressiongs2slsarxt Generalized Spatial Panel Autoregressive 2SLS Regressionspglsxt Spatial Panel Autoregressive Generalized LeastSquares Regressionspgmmxt Spatial Panel Autoregressive GeneralizedMethod of Moments Regressionspmstarxt (m-STAR) Spatial Lag Panel Modelsspmstardxt (m-STAR) Spatial Durbin Panel Modelsspmstardhxt (m-STAR) Spatial Durbin MultiplicativeHeteroscedasticity Panel Modelsspmstarhxt (m-STAR) Spatial Lag Multiplicative HeteroscedasticityPanel Modelsspregdhp Spatial Panel Han-Philips Linear DynamicRegression: Lag & Durbin Modelsspregdpd Spatial Panel Arellano-Bond Linear DynamicRegression: Lag & Durbin Modelsspregfext Spatial Panel Fixed Effects Regression: Lag & DurbinModelsspregrext Spatial Panel Random Effects Regression: Lag &Durbin Modelsspregsacxt MLE Spatial AutoCorrelation Panel Regression (SAC)spregsarxt MLE Spatial Lag Panel Regression (SAR)spregsdmxt MLE Spatial Durbin Panel Regression (SDM)spregsemxt MLE Spatial Error Panel Regression (SEM)--------------------------------------------------------------------------------*** (2) Spatial Cross Section Regression Models:spregcs Spatial Cross Section Regression EconometricModels: Stata Module Toolkitgs2sls Generalized Spatial 2SLS Cross SectionsRegressiongs2slsar Generalized Spatial Autoregressive 2SLS CrossSections Regressiongs3sls Generalized Spatial 3SLS Cross SectionsRegressiongs3slsar Generalized Spatial Autoregressive 3SLS CrossSections Regressionspautoreg Spatial Cross Section Regression Modelsspgmm Spatial Autoregressive GMM CrossSections Regressionspmstar (m-STAR) Spatial Lag Cross Sections Modelsspmstard (m-STAR) Spatial Durbin Cross Sections Modelsspmstardh (m-STAR) Spatial Durbin MultiplicativeHeteroscedasticity Cross Sections Modelsspmstarh (m-STAR) Spatial Lag MultiplicativeHeteroscedasticity Cross Sections Modelsspregsac MLE Spatial AutoCorrelation Cross SectionsRegression (SAC)spregsar MLE Spatial Lag Cross Sections Regression(SAR)spregsdm MLE Spatial Durbin Cross Sections Regression(SDM)spregsem MLE Spatial Error Cross Sections Regression(SEM)--------------------------------------------------------------------------------*** (3) Tobit Spatial Regression Models:*** (3-1) Tobit Spatial Panel Data Regression Models:sptobitgmmxt Tobit Spatial GMM Panel RegressionsptobitmstarxtTobit (m-STAR) Spatial Lag Panel ModelssptobitmstardxtTobit (m-STAR) Spatial Durbin Panel ModelssptobitmstardhxtTobit (m-STAR) Spatial Durbin Multiplicative HeteroscedasticityPanel ModelssptobitmstarhxtTobit (m-STAR) Spatial Lag Multiplicative HeteroscedasticityPanel Modelssptobitsacxt Tobit MLE Spatial AutoCorrelation (SAC) Panel Regressionsptobitsarxt Tobit MLE Spatial Lag Panel Regressionsptobitsdmxt Tobit MLE Spatial Panel Durbin Regressionsptobitsemxt Tobit MLE Spatial Error Panel Regressionspxttobit Tobit Spatial Panel Autoregressive GLS Regression--------------------------------------------------------------*** (3-2) Tobit Spatial Cross Section Regression Models:sptobitgmm Tobit Spatial GMM Cross Sections Regressionsptobitmstar Tobit (m-STAR) Spatial Lag Cross Sections ModelssptobitmstardTobit (m-STAR) Spatial Durbin Cross Sections ModelssptobitmstardhTobit (m-STAR) Spatial Durbin Multiplicative HeteroscedasticityCross SectionssptobitmstarhTobit (m-STAR) Spatial Lag Multiplicative Heteroscedasticity CrossSectionssptobitsac Tobit MLE AutoCorrelation (SAC) Cross Sections Regressionsptobitsar Tobit MLE Spatial Lag Cross Sections Regressionsptobitsdm Tobit MLE Spatial Durbin Cross Sections Regressionsptobitsem Tobit MLE Spatial Error Cross Sections Regression--------------------------------------------------------------------------------*** (4) Spatial Weight Matrix:spcs2xt Convert Cross Section to Panel Spatial WeightMatrixspweight Cross Section and Panel Spatial Weight Matrixspweightcs Cross Section Spatial Weight Matrixspweightxt Panel Spatial Weight Matrix

José-AntonioMonteiro & Madina Kukenova, 2009. "Spatial Dynamic PanelModel and System GMM: A Monte Carlo Investigation," IRENE Working Papers 09-01, IRENE Institute of EconomicResearch.

学术指导：张晓峒老师

本期解答人：谢杰老师

编辑：李光勤

统筹：易仰楠李丹丹

技术：知我者赵雅轩郭凯

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