{"title":"利用广义估计方程对空间数据非线性模型进行估计","authors":"Cuicui Lu, Weining Wang, J. Wooldridge","doi":"10.2139/ssrn.3265976","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":8448,"journal":{"name":"arXiv: Econometrics","volume":"47 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2018-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Using generalized estimating equations to estimate nonlinear models with spatial data\",\"authors\":\"Cuicui Lu, Weining Wang, J. Wooldridge\",\"doi\":\"10.2139/ssrn.3265976\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":8448,\"journal\":{\"name\":\"arXiv: Econometrics\",\"volume\":\"47 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-10-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv: Econometrics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3265976\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Econometrics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3265976","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.