今日問(wèn)題1

?您好！使用動(dòng)態(tài)空間計(jì)量模型對(duì)問(wèn)題進(jìn)行估計(jì)時(shí)，同時(shí)使用的是矩估計(jì)的方法，如何實(shí)現(xiàn)那個(gè)AR（1）和AR(2)的檢驗(yàn)?zāi)?？相?yīng)的代碼是什么？

今日解答1

AR(1)，AR(2)是用來(lái)檢驗(yàn)動(dòng)態(tài)面板，如差分或系統(tǒng)GMM是否存在擾動(dòng)項(xiàng)一階和二階自相關(guān)的。動(dòng)態(tài)空間計(jì)量模型的使用未見(jiàn)推廣的這些檢驗(yàn)?？臻g計(jì)量中有SAR模型，即空間自相關(guān)(回歸)模型。動(dòng)態(tài)空間計(jì)量，動(dòng)態(tài)空間面板模型的構(gòu)建與檢驗(yàn)仍然處在前沿的研究階段，Elhost（2010）對(duì)Arrelano和bond的差分GMM估計(jì)量進(jìn)行擴(kuò)展，使其包括一個(gè)內(nèi)生交互效應(yīng)，且同時(shí)發(fā)現(xiàn)這種估計(jì)量仍然可能存在嚴(yán)重的偏誤，特別是Wyt的參數(shù)的估計(jì)。

Kukenova andMonteiro（2009）、Jacobs et al（2009）同時(shí)研究了動(dòng)態(tài)面板數(shù)據(jù)模型（Yt-1，Wyt-1），并擴(kuò)展了Blundell and Bond（1998）的系統(tǒng)GMM估計(jì)，使之包含內(nèi)生交互效應(yīng)（Wyt），前者同時(shí)研究了內(nèi)生解釋變量Zt，后者研究了誤差項(xiàng)的空間自相關(guān)Wt。他們發(fā)現(xiàn)系統(tǒng)GMM估計(jì)量要優(yōu)于差分GMM，且減小了參數(shù)估計(jì)。

動(dòng)態(tài)空間面板模型的stata程序如下：
clear *清空
ssc install spregdpd(or spregdhp) *安裝spregdpd或spregdhp動(dòng)態(tài)空間面板模板
help spregdpd(or spregdhp)??*參閱幫助文件（有案例）?

help輸出：

Title+-------------------------------------------------------------

spregdpd: Spatial Panel Arellano-Bond Linear Dynamic Regression:Lag & Durbin Mo

> dels

Syntax+------------------------------------------------------------

???? spregdpd depvarindepvars [weight] , nc(#) wmfile(weight_file)

??? [ model(sar|sdm)run(xtabond|xtdhp|xtdpd|xtdpdsys) be fe re

???? lmspac lmhet lmnormdiag tests stand inv inv2 mfx(lin, log)

???? noconstant

????? predict(new_var)resid(new_var) inst(vars) diff(vars) endog(vars)

???? pre(vars)

????? dgmmiv(varlist) collzero tolog twostep level(#) vce(vcetype) ]

Model Options +-----------------------------------------------------

???? 1- model(sar)? MLE Spatial Panel Lag Model (SAR)

???? 2- model(sdm)? MLE Spatial Panel Durbin Model (SDM)

Run Options+-------------------------------------------------------

1- run(xtdhp)????? [NEW]Han-Philips (2010) Linear Dynamic Panel Regression

2- run(xtabond)??? [xtabond]Arellano-Bond Linear Dynamic Panel Regression

3- run(xtdpd)????? [xtdpd]Arellano-Bond (1991) Linear Dynamic Panel Regression

4- run(xtdpdsys)??[xtdpdsys] Arellano-Bover/Blundell-Bond (1995, 1998)

?????????????????????????????System Linear Dynamic Panel Regression

Options+-----------------------------------------------------------

? *? nc(#)?????????Number of Cross Sections Units

?? Time series observationsmust be Balanced in each Cross Section

?

? wmfile(weight_file) OpenCROSS SECTION weight matrix file.

…..

tests??????????? display ALLlmh, lmn, lmsp, diag tests

?twostep????????? two-step estimate run(xtdpd)

? dgmmiv(varlist)???????? GMM Instruments for DifferencedEquation run(xtdpd)

? inst(varlist)?????????? Additional Instrumental Variablesrun(xtabond)

??????????????????????Dependent Variable Lag length is lag(1)

? diff(varlist)?????????? Already Differenced ExogenousVariables run(xtabond)

? endog(varlist)????????? Endogenous Variables run(xtabond,xtdpdsys)

? pre(varlist)??????????? Predetermined Variablesrun(xtabond, xtdpdsys)

??? vce(vcetype) ols,robust, cluster, bootstrap, jackknife, hc2, hc3

? level(#)???????? confidence intervals level; default islevel(95)

Spatial Panel Aautocorrelation Tests+------------------------------

lmspac Spatial Panel Aautocorrelation Tests:

??????? * Ho: Error has NoSpatial AutoCorrelation

????????? Ha: Error has??? Spatial AutoCorrelation
*** Spatial Econometrics Regression Models:
--------------------------------------------------------------------------------
*** (1) Spatial Panel Data Regression Models:
spregxt? ?? ?Spatial Panel Regression Econometric Models:Stata Module Toolkit
gs2slsxt? ???Generalized Spatial Panel 2SLS Regression
gs2slsarxt? ?Generalized Spatial Panel Autoregressive 2SLS Regression
spglsxt? ?? ?Spatial Panel Autoregressive Generalized LeastSquares Regression
spgmmxt? ?? ?Spatial Panel Autoregressive GeneralizedMethod of Moments Regression
spmstarxt? ? (m-STAR) Spatial Lag Panel Models
spmstardxt? ?(m-STAR) Spatial Durbin Panel Models
spmstardhxt??(m-STAR) Spatial Durbin MultiplicativeHeteroscedasticity Panel Models
spmstarhxt? ?(m-STAR) Spatial Lag Multiplicative HeteroscedasticityPanel Models
spregdhp? ???Spatial Panel Han-Philips Linear DynamicRegression: Lag & Durbin Models
spregdpd? ???Spatial Panel Arellano-Bond Linear DynamicRegression: Lag & Durbin Models
spregfext? ? Spatial Panel Fixed Effects Regression: Lag & DurbinModels
spregrext? ? Spatial Panel Random Effects Regression: Lag &Durbin Models
spregsacxt? ?MLE Spatial AutoCorrelation Panel Regression (SAC)
spregsarxt? ?MLE Spatial Lag Panel Regression (SAR)
spregsdmxt? ?MLE Spatial Durbin Panel Regression (SDM)
spregsemxt? ?MLE Spatial Error Panel Regression (SEM)
--------------------------------------------------------------------------------
*** (2) Spatial Cross Section Regression Models:
spregcs? ?? ?Spatial Cross Section Regression EconometricModels: Stata Module Toolkit
gs2sls? ?? ? Generalized Spatial 2SLS Cross SectionsRegression
gs2slsar? ???Generalized Spatial Autoregressive 2SLS CrossSections Regression
gs3sls? ?? ? Generalized Spatial 3SLS Cross SectionsRegression
gs3slsar? ???Generalized Spatial Autoregressive 3SLS CrossSections Regression
spautoreg? ? Spatial Cross Section Regression Models
spgmm? ?? ???Spatial Autoregressive GMM CrossSections Regression
spmstar? ?? ?(m-STAR) Spatial Lag Cross Sections Models
spmstard? ???(m-STAR) Spatial Durbin Cross Sections Models
spmstardh? ? (m-STAR) Spatial Durbin MultiplicativeHeteroscedasticity Cross Sections Models
spmstarh? ???(m-STAR) Spatial Lag MultiplicativeHeteroscedasticity Cross Sections Models
spregsac? ???MLE Spatial AutoCorrelation Cross SectionsRegression (SAC)
spregsar? ???MLE Spatial Lag Cross Sections Regression(SAR)
spregsdm? ???MLE Spatial Durbin Cross Sections Regression(SDM)
spregsem? ???MLE Spatial Error Cross Sections Regression(SEM)
--------------------------------------------------------------------------------
*** (3) Tobit Spatial Regression Models:
*** (3-1) Tobit Spatial Panel Data Regression Models:
sptobitgmmxt Tobit Spatial GMM Panel Regression
sptobitmstarxtTobit (m-STAR) Spatial Lag Panel Models
sptobitmstardxtTobit (m-STAR) Spatial Durbin Panel Models
sptobitmstardhxtTobit (m-STAR) Spatial Durbin Multiplicative HeteroscedasticityPanel Models
sptobitmstarhxtTobit (m-STAR) Spatial Lag Multiplicative HeteroscedasticityPanel Models
sptobitsacxt Tobit MLE Spatial AutoCorrelation (SAC) Panel Regression
sptobitsarxt Tobit MLE Spatial Lag Panel Regression
sptobitsdmxt Tobit MLE Spatial Panel Durbin Regression
sptobitsemxt Tobit MLE Spatial Error Panel Regression
spxttobit? ? Tobit Spatial Panel Autoregressive GLS Regression
--------------------------------------------------------------
*** (3-2) Tobit Spatial Cross Section Regression Models:
sptobitgmm? ?Tobit Spatial GMM Cross Sections Regression
sptobitmstar Tobit (m-STAR) Spatial Lag Cross Sections Models
sptobitmstardTobit (m-STAR) Spatial Durbin Cross Sections Models
sptobitmstardhTobit (m-STAR) Spatial Durbin Multiplicative HeteroscedasticityCross Sections
sptobitmstarhTobit (m-STAR) Spatial Lag Multiplicative Heteroscedasticity CrossSections
sptobitsac? ?Tobit MLE AutoCorrelation (SAC) Cross Sections Regression
sptobitsar? ?Tobit MLE Spatial Lag Cross Sections Regression
sptobitsdm? ?Tobit MLE Spatial Durbin Cross Sections Regression
sptobitsem? ?Tobit MLE Spatial Error Cross Sections Regression
--------------------------------------------------------------------------------
*** (4) Spatial Weight Matrix:
spcs2xt? ?? ?Convert Cross Section to Panel Spatial WeightMatrix
spweight? ???Cross Section and Panel Spatial Weight Matrix
spweightcs? ?Cross Section Spatial Weight Matrix
spweightxt? ?Panel Spatial Weight Matrix

José-AntonioMonteiro & Madina Kukenova, 2009. "Spatial Dynamic PanelModel and System GMM: A Monte Carlo Investigation,"?IRENE Working Papers?09-01, IRENE Institute of EconomicResearch.

學(xué)術(shù)指導(dǎo)：張曉峒老師

本期解答人：謝杰老師

編輯：李光勤

統(tǒng)籌：易仰楠 李丹丹

技術(shù)：知我者 趙雅軒 郭凱

往期回顧

互助問(wèn)答第74期:評(píng)估政策影響沒(méi)有對(duì)照組數(shù)據(jù)問(wèn)題

互助問(wèn)答第73期:空間面板問(wèn)題

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互助問(wèn)答第71期:中介效應(yīng)檢驗(yàn)問(wèn)題

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