统计研究
統計研究
통계연구
Statistical Research
2015年
1期
95~101
,共null页
随机效应 空间滞后单指数面板模型 截面极大似然估计 数值模拟
隨機效應 空間滯後單指數麵闆模型 截麵極大似然估計 數值模擬
수궤효응 공간체후단지수면판모형 절면겁대사연고계 수치모의
Random Effects; Spatial Lag Single-index Panel Model; Profile Maximum Likelihood Estimation;Numerical Simulation
本文构建了随机效应空间滞后单指数面板模型的截面极大似然估计方法,从理论证明和数值模拟两方面分别考察了其估计量的大样本性质和小样本表现。研究结果表明：在大样本条件下,估计量均具有一致性,并且参数估计量具有渐近正态性;在小样本条件下,各估计量依然具有良好的表现,其精度随着样本容量的增加而提高。空间权重矩阵结构的复杂性对空间相关系数的估计量影响较大,但对其他估计量的影响较小。
本文構建瞭隨機效應空間滯後單指數麵闆模型的截麵極大似然估計方法,從理論證明和數值模擬兩方麵分彆攷察瞭其估計量的大樣本性質和小樣本錶現。研究結果錶明：在大樣本條件下,估計量均具有一緻性,併且參數估計量具有漸近正態性;在小樣本條件下,各估計量依然具有良好的錶現,其精度隨著樣本容量的增加而提高。空間權重矩陣結構的複雜性對空間相關繫數的估計量影響較大,但對其他估計量的影響較小。
본문구건료수궤효응공간체후단지수면판모형적절면겁대사연고계방법,종이론증명화수치모의량방면분별고찰료기고계량적대양본성질화소양본표현。연구결과표명：재대양본조건하,고계량균구유일치성,병차삼수고계량구유점근정태성;재소양본조건하,각고계량의연구유량호적표현,기정도수착양본용량적증가이제고。공간권중구진결구적복잡성대공간상관계수적고계량영향교대,단대기타고계량적영향교소。
In this paper, a profile maximum likelihood estimation method is constructed for a spatial lag single-index panel model with random effects and the large sample properties and finite sample performances of its estimators are studied by theoretical proofs and numerical simulation respectively. The research results are summarized as follows： （1） All estimators have consistency and parametric estimators have asymptotic normality under large sample. （2） All estimators still have good performance under finite sample and their accuracy is improved with the increasing of sample size; the complexity of spatial weighted matrix has remarkable effect on the estimator of spatial correlation coefficient and little effects on the other estimators.
