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Spatial Econometric Analysis Using GAUSS

Spatial Econometric Analysis Using GAUSS. 3 Kuan-Pin Lin Portland State University. Spatial Weights Matrix. Anselin (1988) [ anselin.1 ] Ertur and Kosh (2007) [ ek.1 ] China 30 Provinces [ china.1 , china.2 ] Homework U.S. 48 Lower States [ us48_w.txt ]

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Spatial Econometric Analysis Using GAUSS

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  1. Spatial Econometric AnalysisUsing GAUSS 3 Kuan-Pin LinPortland State University

  2. Spatial Weights Matrix • Anselin (1988) [anselin.1] • Ertur and Kosh (2007) [ek.1] • China 30 Provinces [china.1, china.2] • Homework • U.S. 48 Lower States [us48_w.txt] • U.S. 3109 Counties [us3109_w.zip][us3109_wlist.txt]

  3. Spatial Contiguity Weights MatrixAnselin (1988): W1, W2, W3

  4. Spatial Contiguity Weights MatrixChina, 30 Provinces and Cities: W1, W2, W3

  5. Distance-Based Spatial WeightsErtur and Kosh (2007) • Geographical Location (x,y) • Longitude (x) • Latitude (y) • Great Circle Distance • d=gcd(x,y) • (x,y) is in degree decimal units • Distance-Based Spatial Weights Matrix • Using Kernel Weight Function

  6. Distance-Based Spatial WeightsErtur and Kosh (2007) • Kernel Weight Function • Parzen Kernel • Bartlett Kernel (Tricubic Kernel) • Turkey-Hanning Kernel • Guassian or Exponenetial Kernel

  7. Kernel Weights Spatial MatrixAn Example • Negative Exponential Distance • Negative Gaussian Distance

  8. Gaussian Distance Weights MatrixErtur and Kosh (2007)

  9. Spatial HAC Estimator • The Classical Model

  10. Spatial HAC EstimatorGeneral Heteroscedasticity • Huber-White Estimator

  11. Spatial HAC EstimatorGeneral Heteroscedasticity and Autocorrelation • First Law of Geography • Kelejian and Prucha (2007)

  12. Time Series HAC EstimatorGeneral Heteroscedasticity and Autocorrelation • Newey-West Estimator

  13. Crime EquationAnselin (1988) [anselin.2] • Basic Model(Crime Rate) = a + b (Family Income) + g (Housing Value) + e • Spatial HAC Estimator

  14. GDP Output ProductionChina 2006 [china.3] • Cobb-Douglass Production Function ln(GDP) = a + b ln(L) + g ln(K) + e • Spatial HAC Estimator

  15. Spatial ExogeneityLagged Explanatory Variables • Spatial Exogenous Model

  16. GDP Output ProductionChina 2006 [china.4] • Cobb-Douglass Production Function ln(GDP) = a + b ln(L) + g ln(K) + bwW ln(L) + gw W ln(K) + e

  17. Spatial EndogeneityLagged Dependent Variable • Spatial Lag Model

  18. References • T. Conley, 1999 “GMM estimation with cross sectional dependence,” Journal of Econometrics 92, 1999, 1–45. • H. Kelejian and I.R. Prucha, “HAC Estimation in a Spatial Framework,” Journal of Econometrics 140, 2007, 131-154. • W. Newey, and K. West, 1987, “A simple, positive semi-definite, heteroskedastic and autocorrelated consistent covariance matrix,” Econometrica, 55, 1987, 703–708. • H. White, “Maximum Likelihood Estimation of Misspecified Models,” Econometrica, 50, 1982, 1-26.

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