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A Study on Dynamic Spatial Fixed Effect Model Based on Endogenous Initial Value

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Part of the book series: Computational Risk Management ((Comp. Risk Mgmt))

Abstract

This paper proposes a dynamic spatial fixed effect model. First, simultaneously introduce both temporally and spatially lagged factors. Second, analyze both observable and unobservable spatial effects by taking the initial value as endogenous. Third, derive and prove the asymptotic properties and distributions of estimators, and undertake a Monte Carlo simulation. The simulation results show that the estimators improve as the sample size increases. Moreover, the degree to which the estimation results improve seems more sensitive to temporal dimension than to spatial dimension.

Supported by the National Social Science Foundation of China under Grant “10CTJ002”.

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Notes

  1. 1.

    Where \( {G_N}(\lambda ) = {W_N}{S_N}(\lambda ),\mathop {{{Z_t}}}\limits^\sim = ({\tilde{Y}_{t - 1}}, {W_N}\mathop {{{\tilde{Y}_{t - 1}}}}, \mathop {{{\tilde{X}_t}}} ) \).

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Correspondence to Penghui Guo .

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Guo, P. (2011). A Study on Dynamic Spatial Fixed Effect Model Based on Endogenous Initial Value. In: Wu, D., Zhou, Y. (eds) Modeling Risk Management for Resources and Environment in China. Computational Risk Management. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-18387-4_57

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