The Econometric Analysis of Non-Stationary Spatial Panel Data
暫譯: 非平穩空間面板數據的計量經濟分析
Beenstock, Michael, Felsenstein, Daniel
- 出版商: Springer
- 出版日期: 2019-04-08
- 售價: $4,510
- 貴賓價: 9.5 折 $4,285
- 語言: 英文
- 頁數: 275
- 裝訂: Hardcover - also called cloth, retail trade, or trade
- ISBN: 3030036138
- ISBN-13: 9783030036133
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商品描述
This monograph deals with spatially dependent nonstationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial nonstationarity in spatial cross-section data, and a full exposition of non-stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models.
The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent.
The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel.
商品描述(中文翻譯)
這本專著探討了空間依賴的非平穩時間序列,旨在讓希望了解空間計量經濟學的時間序列計量經濟學家,以及缺乏時間序列分析基礎的空間計量經濟學家都能輕鬆理解。在闡述時間序列和空間計量經濟學的關鍵概念後,本書討論了如何使用空間面板數據來估計空間連通性矩陣,而不是假設其為外生固定。接著,書中討論了空間橫斷面數據中的空間非平穩性,以及在單方程和多方程背景下的非平穩性全面闡述,包括空間向量自回歸(VAR)模型和空間誤差修正(ECM)模型的估計和模擬。
本書回顧了針對空間獨立數據和強空間依賴數據的面板單根檢驗和面板協整檢驗的文獻。首次提供了當空間面板數據為弱或空間依賴時,面板單根檢驗和面板協整檢驗的臨界值。
本卷最後討論了在非平穩面板數據模型中納入強和弱空間依賴的問題。所有討論均伴隨著基於以色列房價的空間面板數據的實證測試。
作者簡介
Daniel Felsenstein is a Professor and Chair of the Department of Geography at the Hebrew University of Jerusalem. His fields of interest are economic geography, regional science and spatial econometrics. His research relates to regional disparities, landuse-transportation modeling, urban resilience and local housing markets..
作者簡介(中文翻譯)
邁克爾·比恩斯托克是耶路撒冷希伯來大學的平查斯·薩皮爾經濟學教授。他在倫敦政治經濟學院獲得博士學位,並於1981年至1987年間擔任倫敦城市大學的教授。他是倫敦經濟政策研究中心的研究員。他的研究興趣包括應用計量經濟學、空間計量經濟學、世界經濟、以色列經濟、能源經濟學、移民吸收、住房市場和經濟不平等。
丹尼爾·費爾森斯坦是耶路撒冷希伯來大學地理系的教授及系主任。他的研究領域包括經濟地理、區域科學和空間計量經濟學。他的研究與區域差異、土地使用-交通建模、城市韌性和當地住房市場有關。