利用广义估计方程对空间数据非线性模型进行估计

Cuicui Lu, Weining Wang, J. Wooldridge
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引用次数: 4

摘要

本文研究了在拟极大似然估计框架下,用两步广义估计方程(GEE)估计具有横截面数据的非线性模型。为了提高效率,我们提出了一个分组估计量来解释潜在创新的空间相关性。我们对计数数据使用泊松模型和负二项II模型,对二元响应数据使用Probit模型来演示GEE过程。在弱依赖假设下,给出了估计一致性和渐近正态性的结果。通过对计数数据和二元响应数据的不同估计方法的比较,蒙特卡罗模拟表明了该方法的效率增益。最后,我们运用GEE方法研究了外商直接投资流入中国的决定因素。
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Using generalized estimating equations to estimate nonlinear models with spatial data
In this paper, we study estimation of nonlinear models with cross sectional data using two-step generalized estimating equations (GEE) in the quasi-maximum likelihood estimation (QMLE) framework. In the interest of improving efficiency, we propose a grouping estimator to account for the potential spatial correlation in the underlying innovations. We use a Poisson model and a Negative Binomial II model for count data and a Probit model for binary response data to demonstrate the GEE procedure. Under mild weak dependency assumptions, results on estimation consistency and asymptotic normality are provided. Monte Carlo simulations show efficiency gain of our approach in comparison of different estimation methods for count data and binary response data. Finally we apply the GEE approach to study the determinants of the inflow foreign direct investment (FDI) to China.
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