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Ökonometrische Modelle mit raumstruktureller Autokorrelation - Eine kurze Einführung

  • Stefan Klotz

    (Universität Konstanz)

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    Querschnittsdaten aus benachbarten Raumgebieten, wie in der Regionalökonomie verwendet, weisen neben Heteroskedastie oft auch gegenseitige Abhängigkeiten auf. Aufgrund des geringen Bekanntheitsgrades der Raumstrukturellen Ökonometrie wird es häufig versäumt, die wechselseitige Beeinflussung der Beobachtungen durch Modelle zu berücksichtigen, welche raumstrukturell autokorrelierte Endogene oder Fehlerterme aufweisen. Dieser Beitrag stellt deshalb nicht nur das Konzept der raumstrukturellen Autokorrelation vor, sondern zeigt als Innovation auch mögliche Konsequenzen der Nichtberücksichtigung einer tatsächlichen Interdependenzstruktur auf. Ferner werden geeignete Testverfahren für solche Prozesse dargestellt, sowie Schätzmethoden diskutiert: KQ erweist sich als nicht anwendbar, während Maximum Likelihood-Schätzer rechentechnische Probleme verursachen, so das GMM-Verfahren vorzuziehen sind. Die Eigenschaften der erwähnten Methoden in endlichen Stichproben werden mit Hilfe von Monte-Carlo-Studien verdeutlicht.

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    Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

    Volume (Year): 218 (1999)
    Issue (Month): 1+2 (January)
    Pages: 168-196

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    Handle: RePEc:jns:jbstat:v:218:y:1999:i:1-2:p:168-196
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