空间加权矩阵设置与空间面板参数估计效率

总结了常用的空间加权矩阵的一般构建方法和研究领域内新提出的空间加权矩阵的构建方法，从宏观与微观层面，量化分析了空间加权矩阵设置对于空间面板参数估计效率、空间效应识别的影响效应。结论表明：宏观数据层面，随着空间加权矩阵复杂程度的提高，无论是空间面板固定效应模型还是空间面板随机效应模型，参数估计的有效性与一致性都显著提高并且广义矩参数估计方法优于拟极大似然估计方法，复合的空间加权矩阵条件下，拉格朗日乘子检验方法的功效更高；微观数据层面，回归结果表明四种不同类型的空间加权矩阵的设置，对于聚集外部性引致的企业全要素生产率增长的空间边界的识别具有显著影响，复合的空间加权矩阵更有效。

Type of Spatial Weight on Spatial Panel Parameters Estimation and Testing Efficiency

This paper summarizes widely used general spatial weight scheme and some brand-new spatial model that proposed in the fields of spatial econometrics. From macro and micro perspective, it quantifies the type of weight matrix effects on spatial panel parameters estimation as well as the identification of spatial effect in the model. The empirical results are as follows: as far as the macro data is concerned, with the increasing of the complexity of spatial weight matrix, efficiency as well as consistency of spatial parameters estimation is increased dramatically. The general moment method is superior to its counterpart quasi-maximized likelihood method. Under compound spatial weight matrix, the LM has better test power; For the micro data, the regression results indicates that the four proposed spatial matrix have prominent effect on the identification of spatial boundary of agglomeration externalities, the compound spatial matrix have better performance in terms of identify the space scale of externalities.