高级金融研究院 Advance Institute of Finance

国金学术研讨会第283期(刘拓副教授)
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raybet电竞下载广州南校园
主讲人
刘拓
主持人
谢建辉
承办单位
raybet电竞下载高级金融研究院

摘要:This paper proposes and studies two Huber-type estimation approaches, namely, the Huber IV estimation and the Huber GMM estimation, for a spatial autoregressive (SAR) model. We establish the consistency, asymptotic distributions, finite sample breakdown points, and influences of these estimators. Simulation studies show that compared to the corresponding traditional estimators (the two-stage least squares estimator, the best IV estimator, and the GMM estimator), our estimators are more robust when the unknown disturbances are long-tailed, and our estimators only lose a little efficiency when the disturbances are short-tailed. And the Huber GMM estimator also outperforms several robust estimators in the literature. Finally, we apply our estimation method to investigate the impact of the urban heat island effect on housing prices.

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