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Estimation for the spatial autoregressive threshold model

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  • Deng, Ying

Abstract

This paper extends the threshold model to the spatial framework, which allows for different spatial lag coefficients for different regimes. We suggest a spatial two-stage least squares estimator for the threshold and slope parameters.

Suggested Citation

  • Deng, Ying, 2018. "Estimation for the spatial autoregressive threshold model," Economics Letters, Elsevier, vol. 171(C), pages 172-175.
    • Handle: RePEc:eee:ecolet:v:171:y:2018:i:c:p:172-175
    DOI: 10.1016/j.econlet.2018.07.041
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    References listed on IDEAS

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    1. Caner, Mehmet & Hansen, Bruce E., 2004. "Instrumental Variable Estimation Of A Threshold Model," Econometric Theory, Cambridge University Press, vol. 20(5), pages 813-843, October.
    2. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
    3. Kelejian, Harry H & Prucha, Ingmar R, 1998. "A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 99-121, July.
    4. Albert Saiz, 2010. "The Geographic Determinants of Housing Supply," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1253-1296.
    5. Glaeser, Edward L. & Gyourko, Joseph & Saiz, Albert, 2008. "Housing supply and housing bubbles," Journal of Urban Economics, Elsevier, vol. 64(2), pages 198-217, September.
    6. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    7. Baltagi, Badi H. & Fingleton, Bernard & Pirotte, Alain, 2014. "Spatial lag models with nested random effects: An instrumental variable procedure with an application to English house prices," Journal of Urban Economics, Elsevier, vol. 80(C), pages 76-86.
    8. Luc Anselin, 2003. "Spatial Externalities, Spatial Multipliers, And Spatial Econometrics," International Regional Science Review, , vol. 26(2), pages 153-166, April.
    9. Lung-fei Lee, 2003. "Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 307-335.
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    Cited by:

    1. Konstantinidi, Antri & Kourtellos, Andros & Sun, Yiguo, 2023. "Social threshold regression," Journal of Econometrics, Elsevier, vol. 235(2), pages 2057-2081.
    2. Wei, Lili & Zhang, Chunli & Su, Jen-Je & Yang, Lixiong, 2021. "Panel threshold spatial Durbin models with individual fixed effects," Economics Letters, Elsevier, vol. 201(C).
    3. Zhu, Yanli & Han, Xiaoyi & Chen, Ying, 2020. "Bayesian estimation and model selection of threshold spatial Durbin model," Economics Letters, Elsevier, vol. 188(C).
    4. Li, Kunpeng, 2022. "Threshold spatial autoregressive model," MPRA Paper 113568, University Library of Munich, Germany.

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