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A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation

Author

Listed:
  • Yaqing Liu

    (School of Medicine and Health Management, Tongji Medical College, Huazhong University of Science & Technology, Hangkong Road 13, Wuhan 430030, China)

  • Hongbing Ouyang

    (School of Economics, Huazhong University of Science & Technology and Wenhua College, Luoyu Road 1037, Wuhan 430074, China)

  • Xiaolu Wei

    (School of Business, Hubei University, Youyi Road 368, Wuhan 430062, China)

Abstract

The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures.

Suggested Citation

  • Yaqing Liu & Hongbing Ouyang & Xiaolu Wei, 2021. "A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation," Mathematics, MDPI, vol. 9(8), pages 1-8, April.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:8:p:883-:d:537474
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    References listed on IDEAS

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    1. Yu, Jihai & de Jong, Robert & Lee, Lung-fei, 2008. "Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large," Journal of Econometrics, Elsevier, vol. 146(1), pages 118-134, September.
    2. Lee, Lung-fei & Yu, Jihai, 2010. "Estimation of spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 154(2), pages 165-185, February.
    3. Valter Di Giacinto, 2003. "Differential Regional Effects of Monetary Policy: A Geographical SVAR Approach," International Regional Science Review, , vol. 26(3), pages 313-341, July.
    4. Valter Giacinto, 2010. "On vector autoregressive modeling in space and time," Journal of Geographical Systems, Springer, vol. 12(2), pages 125-154, June.
    5. Luc Anselin & Sergio J. Rey, 2010. "Perspectives on Spatial Data Analysis," Advances in Spatial Science, in: Luc Anselin & Sergio J. Rey (ed.), Perspectives on Spatial Data Analysis, chapter 0, pages 1-20, Springer.
    6. J. Paul Elhorst, 2003. "Specification and Estimation of Spatial Panel Data Models," International Regional Science Review, , vol. 26(3), pages 244-268, July.
    7. Luc Anselin & Arthur Getis, 2010. "Spatial Statistical Analysis and Geographic Information Systems," Advances in Spatial Science, in: Luc Anselin & Sergio J. Rey (ed.), Perspectives on Spatial Data Analysis, chapter 0, pages 35-47, Springer.
    8. Jushan Bai, 2009. "Panel Data Models With Interactive Fixed Effects," Econometrica, Econometric Society, vol. 77(4), pages 1229-1279, July.
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    2. Rui Yang & Xin An & Yingwen Chen & Xiuli Yang, 2023. "The Knowledge Analysis of Panel Vector Autoregression: A Systematic Review," SAGE Open, , vol. 13(4), pages 21582440231, December.

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