LAUSR.org creates dashboard-style pages of related content for over 1.5 million academic articles. Sign Up to like articles & get recommendations!

Irregular N2SLS and LASSO estimation of the matrix exponential spatial specification model

Photo from wikipedia

In this paper, we consider estimation of the matrix exponential spatial specification model with the Durbin and endogenous regressors. We find that the nonlinear two-stage least squares (N2SLS) estimator is… Click to show full abstract

In this paper, we consider estimation of the matrix exponential spatial specification model with the Durbin and endogenous regressors. We find that the nonlinear two-stage least squares (N2SLS) estimator is in general consistent and asymptotically normal. However, when the Durbin and endogenous regressors are irrelevant, the gradient vector of the N2SLS criterion function has a singular covariance matrix with probability approaching one (w.p.a.1.). Some components of the N2SLS estimator have slower rates of convergence and their asymptotic distributions are nonstandard. The distance difference and gradient test statistics, which have irregular asymptotic distributions, are derived to test for the irrelevance of the Durbin and endogenous regressors. As an alternative estimation and model selection approach, we propose the adaptive group LASSO, which penalizes the coefficients of the Durbin and endogenous explanatory variables. We show that the estimator has the oracle properties, so the true model can be selected w.p.a.1. and the estimator always has the n-rate of convergence and asymptotic normal distribution. We propose to select the tuning parameter for the adaptive group LASSO by minimizing an information criterion.

Keywords: estimation; exponential spatial; spatial specification; matrix exponential; model; estimation matrix

Journal Title: Journal of Econometrics
Year Published: 2018

Link to full text (if available)


Share on Social Media:                               Sign Up to like & get
recommendations!

Related content

More Information              News              Social Media              Video              Recommended



                Click one of the above tabs to view related content.