A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation

Yaqing Liu, Hongbing Ouyang and Xiaolu Wei
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Yaqing Liu: School of Medicine and Health Management, Tongji Medical College, Huazhong University of Science & Technology, Hangkong Road 13, Wuhan 430030, China
Hongbing Ouyang: School of Economics, Huazhong University of Science & Technology and Wenhua College, Luoyu Road 1037, Wuhan 430074, China
Xiaolu Wei: School of Business, Hubei University, Youyi Road 368, Wuhan 430062, China

Mathematics, 2021, vol. 9, issue 8, 1-8

Abstract: The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures.

Keywords: spatial panel data; structural vector autoregressive model; interactive effects (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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