Sieve Maximum Likelihood Estimation of the Spatial Autoregressive Tobit model
2015/05/05
研討會日期 : 2015-05-05
時間 : 14:30
主講人 : Professor Lung-Fei Lee
主持人 : Professor Kamhon Kan
地點 : Conference Room B110
演講者簡介 : Professor Lee received his Ph.D. in Economics from University of Rochester in 1977. He is currently a University Chaired Professor at The Ohio State University, Columbus and an Academician at Academia Sinica. He has made seminal contributions to theory and practice in microeconometrics, specifically the statistical analysis of economic data on the behavior of individuals, households and organizations.
演講摘要 : This paper examines the sieve MLE of a spatial autoregressive Tobit model, where the disturbances are i.i.d. distributed with an unknown distribution. We develop exponential in-equalities for spatial mixing and spatial NED random fields on Rd and obtain consistency of the sieve MLE. Asymptotic distributions of structural parameters of the model are derived by some functional central limit theorem. Simulation results show that the sieve MLE can improve the finite sample performance upon misspecified parametric normal MLEs, in terms of reduction on bias and standard deviation. As an empirical application, we reexamine the school district income surtax rates in Iowa.
