Estimation of Simultaneous System of Spatial Dynamic Equation Models with Spatially Corrected Blundell Bond Method of Moment (SCBB-GMM)

9th Annual Basic Science International Conference 2019

自然科学（总论）

Mala, Faiqotul^1 ; Fitriani, Rahma^1 ; Nurjannah^1

Statistic Department, Faculty of Natural Sciences, University of Brawijaya, Indonesia^1

关键词: Estimation of parameters;    Generalized method of moments;    Instrumental variables;    Simultaneous effects;    Simultaneous equations;    Simultaneous equations model;    Spatial dynamic panels;    Spatial interaction;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/546/3/032020/pdf
DOI  :  10.1088/1757-899X/546/3/032020

学科分类：自然科学（综合）

来源: IOP

【 摘 要 】

The purpose of this paper is used to estimate spatial dynamic simultaneous equations models with simultaneous effects, spatial effects, and time lag effects. Spatial interactions are presented by spatial weight matrices and in addition to dynamics in space and time. Many variables commonly have two direction relationships. Two directions relationship of mutual influence can be summarized in a system of simultaneous equations. In other ways, the relationships of variables are dynamic. In the dynamic panel data models, there is a lag of dependent variable that caused the OLS estimates to be biased and inconsistent. First difference and instrumental variable are needed to overcome this problem. Estimation of parameters in spatial dynamic panel data models with Spatially Corrected Blundell Bond using principles of Generalized Method of Moment (GMM). SCBB-GMM with optimal weights produce parameters that are unbiased, consistent, and efficient.