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以下为空间计量经济学必读文献, 这些paper已经被我博士期间全部精读完毕
博士论文方向为空间计量经济学,以后贴一下自己的博士论文,
小弟在博士期间也只是对计量经济学包括空间计量经济学初窥门径, 学术研究也只是开了个头, 与目前国际上做计量的一些人
幸与lee lung fei的几个学生与su liangjun常常交流, 从他们那里了解不少该方向发展的前沿. 真正的前沿由于还是别人未贴的working paper,仍然属于一级机密
以下文献排名不分先后, 以后打算让自己的学生来读,空间计量经济学是一门年轻的计量经济学分支, 目前所存文献不是很多
,空间计量经济学是一门年轻的计量经济学分支, 目前所存文献不是很多 远比不上时间序列和非参数半参数这2大块的文献.但是以下这些乃是必读中的必读,要做到闭起眼睛可以在黑板上全部默写出来.
1,Conley, T.G., 1999, GMM estimation with cross sectional dependence. Journal of Econometrics 92, 1-45.
2,Conley, T.G. and Molinari, F., 2007, Spatial correlation robust inference with errors in location or distance,
Journal of Econometrics 140, 76-96.
2,Conley, T.G. and Molinari, F., 2007, Spatial correlation robust inference with errors in location or distance,
Journal of Econometrics 140, 76-96.
3, Kapoor, M., Kelejian, H.H. and I.R. Prucha, 2004, Panel Data Models with
Spatially Correlated Error Components, forthcoming in Journal of Econometrics.
Spatially Correlated Error Components, forthcoming in Journal of Econometrics.
4, Kelejian, H.H., Prucha, I.R., 1998, A generalized spatial two-stage least squares procedure for estimating
a spatial autoregressive model with autoregressive disturbance. Journal of Real Estate Finance and
Economics 17, 99-121.
a spatial autoregressive model with autoregressive disturbance. Journal of Real Estate Finance and
Economics 17, 99-121.
5, Kelejian, H.H., Prucha., I.R., 1999. A generalized moments estimator for the autoregressive parameter
in a spatial model, International Economic Review 40, 509-533.
in a spatial model, International Economic Review 40, 509-533.
6, Kelijian, H.H., Prucha., I.R., 2001. On the asymptotic distribution of the Moran I test statistic with
applications. Journal of Econometrics 104, 219-257.
applications. Journal of Econometrics 104, 219-257.
7,Kelijian, H.H., Prucha., I.R., 2006. HAC estimation in a spatial framework Journal of Econometrics,
Forthcoming
Forthcoming
8, Kelejian, H.H., Prucha, I.R. and Yuzefovich, E., 2004, Instrumental Variable
Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances:
Large and Small Sample Results. In J. LeSage and K. Pace (eds.)
Advances in Econometrics: Spatial and Spatiotemporal Econometrics. Elsevier,
New York, 163-198.
Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances:
Large and Small Sample Results. In J. LeSage and K. Pace (eds.)
Advances in Econometrics: Spatial and Spatiotemporal Econometrics. Elsevier,
New York, 163-198.
9, Lee, L.F., 2001, Generalized method of moments estimation of spatial autoregressive processes. Mimeo,
Department of Economics, Ohio State University.
Department of Economics, Ohio State University.
10,Lee, L.-F., 2002. Consistency and Efficiency of Least Squares Estimation
for Mixed Regressive, Spatial Autoregressive Models. Econometric
Theory, 18, pp. 252-277.
for Mixed Regressive, Spatial Autoregressive Models. Econometric
Theory, 18, pp. 252-277.
11,Lee, L.F., 2003, Best spatial two-stage least squares estimators for a spatial autoregressive model with
autoregressive disturbances. Econometric Reviews 22, 307-335.
autoregressive disturbances. Econometric Reviews 22, 307-335.
12, Lee, L.F. 2004, Asymptotic distributions of quasi-maximum likelihood estimators for spatial econometric
models, Econometrica, Vol. 72, No.6, 1899-1925.
13,Lee, L.F., The Method of Elimination and Substitution in the GMM Estimation
of Mixed Regressive, Spatial Autoregressive Models. Department of
Economics, Ohio State University, 2005, forthcoming in Journal of Econometrics.
of Mixed Regressive, Spatial Autoregressive Models. Department of
Economics, Ohio State University, 2005, forthcoming in Journal of Econometrics.
14, Lee, L.F., 2007a, GMM and 2SLS estimation of mixed regressive,
spatial autoregressive models, Journal of Econometrics,
137,489-514
spatial autoregressive models, Journal of Econometrics,
137,489-514
15,Lee, L.F., 2007b, Identification and estimation of econometric models with group interactions, contextual
factors and fixed effects, Journal of Econometrics 140, 333-374.
factors and fixed effects, Journal of Econometrics 140, 333-374.
16,Lee, L.F. and Yu, J., 2007, A spatial dynamic panel data model with both time and individual fixed
effects, working paper.
effects, working paper.
17,Liu, X., and Lee, L.F., 2006, Efficient GMM estimation of high order spatial autoregressive models, Econo-
metric Theory, Forthcoming
metric Theory, Forthcoming
18,Lin, X. and Lee, L.F., 2006, GMM estimation of spatial autoregressive models with unknown heteroskedas-
ticity. Journal of Econometrics, Forthcoming
ticity. Journal of Econometrics, Forthcoming
19, Liu, X., Lee, L. F. and Bollinger, C., 2006, Improved efficient quasi maximum likelihood estimator of
spatial autoregressive models. Working paper, Department of Economics, Ohio State University.
spatial autoregressive models. Working paper, Department of Economics, Ohio State University.
20, Yu, J., De Jong, R. and Lee, L.F., 2008, Quasi-maximum likelihood estimators for spatial dynamic panel
data with fixed effects when both n and T are large, Journal of Econometrics, 146, 118-134.
data with fixed effects when both n and T are large, Journal of Econometrics, 146, 118-134.
21, Pinske, J., Slade, M.E. and Brett, C., 2002, Spatial price competition: a semiparametric approach. Econometrica, 70, 1111-1153.
22, Robinson, P.M., 2008, Efficient estimation of the semiparametric spatial autoregressive model, working paper, London School of Economics, Forthcoming in Journal of Econometrics
23, Su, L., S. Jin, 2008, Profile QMLE of spatial autoregressive models, forthcoming in Journal of econometrics
[此贴子已经被作者于2009-3-4 17:44:01编辑过]
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