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本文研究面板数据空间误差分量模型(Spatial Error Components Model,SEC)的估计方法。为克服极大似然法在SEC模型估计中运算的困难,本文提出基于广义矩估计的可行广义最小二乘法(GMM-GLS),证明了估计量的一致性及有限样本下的有效性;并应用此模型,研究2000-2007年中国30个省(西藏除外)的物质资本存量、人力资本存量及能源消耗对实际GDP的影响,结果表明,采用SEC模型所得估计结果更为符合经济现实。
This paper studies the estimation method of Spatial Error Components Model (SEC). In order to overcome the difficulty of maximum likelihood method in SEC model estimation, this paper proposes a feasible generalized least squares (GMM-GLS) method based on GMM to prove the consistency of estimators and the validity of finite samples. Using this model, we study the impact of physical capital stock, human capital stock and energy consumption on real GDP in 30 provinces in China from 2000 to 2007. The results show that it is more in line with the economic reality to use the SEC model to estimate the results.