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Ökonometrische Modelle mit raumstruktureller Autokorrelation: Eine kurze Einführung

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  • Klotz, Stefan

Abstract

Querschnittsdaten aus benachbarten Raumgebieten, wie in der Regionalökonomie verwendet, weisen neben Heteroskedastie oft auch gegenseitige Abhängigkeiten auf. Die wechselseitige Beeinflussung wird in der raumstrukturellen Ökonometrie (Spatial Econometrics) meist explizit durch Autokorrelation entweder im Fehlerterm oder in der endogenen Variablen modelliert. Für die Schätzung entsprechender Prozesse ist KQ nicht anwendbar, während Maximum Likelihood-Schätzer rechentechnische Probleme verursachen, so daß GMM-Verfahren vorzuziehen sind. Vorliegender Beitrag gibt einen Überblick über gängige Test- und Schätzverfahren und verdeutlicht deren Eigenschaften in endlichen Stichproben mit Hilfe von Monte Carlo-Studien.

Suggested Citation

  • Klotz, Stefan, 1997. "Ökonometrische Modelle mit raumstruktureller Autokorrelation: Eine kurze Einführung," Discussion Papers, Series II 328, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    • Handle: RePEc:zbw:kondp2:328
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    1. Anselin, Luc & Bera, Anil K. & Florax, Raymond & Yoon, Mann J., 1996. "Simple diagnostic tests for spatial dependence," Regional Science and Urban Economics, Elsevier, vol. 26(1), pages 77-104, February.
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