统计与管理学院2015年学术报告第25期

【主  题】 Spatial Weights Matrix Selection for Spatial Autoregressive Models

【报告人】 Zhang Xinyu 博士

中国科学院

【时  间】 2015年6月19日（星期五）16:15－17:00

【地  点】 上海财经大学统计与管理学院大楼1208室

【语  言】 英文

【摘  要】Spatial econometrics relies on spatial weights matrix to specify the cross sectional dependence, which might not be unique. This paper proposes a model selection procedure to choose an optimal weights matrix from several candidates by using a Mallows type criterion. It also proposes a model averaging procedure to reduce the squared loss. We prove that these procedures are asymptotically optimal in the sense of minimizing the squared loss. Monte Carlo experiments show that proposed procedures have satisfactory finite sample performances. We apply the model selection and model averaging procedures to study the market integration in China using historical rice price.