|
|
部分线性变系数空间自回归固定效应面板数据模型的估计
|
Abstract:
为了提高线性空间自回归面板数据模型的适用性和灵活度，提出了一类固定效应部分线性变系数空间自回归面板数据模型。基于局部线性技术，利用Profile似然方法构造了模型中未知空间滞后参数、回归系数以及非参数系数函数的估计。利用数值模拟考察了所提估计方法在有限样本下的表现。
In order to increase the model adaptability and flexibility of the standard linear spatial autoregressive panel data models, a fixed effects partially linear varying coefficient spatial autoregressive panel data model is proposed. A Profile maximum likelihood approach based on the local-linear method is introduced to estimate the unknown spatial lag parameter, regression coefficients and nonparametric coefficient functions. Some simulations are conducted to examine the performance of the proposed procedures with finite sample.
| [1] | Elhorst, J.P. (2003) Specification and Estimation of Spatial Panel Data Models. International Regional Science Review, 26, 223-243. https://doi.org/10.1177/0160017603253791 |
| [2] | Anselin, L., Le Gallo, J. and Jayet, H. (2008) Spatial Panel Econometrics. In: Mátyás, L. and Sevestre, P., Eds., The Econometrics of Panel Data. Advanced Studies in Theoretical and Applied Econometrics, Vol. 46, Springer, Berlin, Heidelberg, 627-662. https://doi.org/10.1007/978-3-540-75892-1_19 |
| [3] | Elhorst, J.P. (2014) Spatial Econometrics: From Cross-Sectional Data to Spatial Panels. Physica-Verlag HD.
https://doi.org/10.1007/978-3-642-40340-8 |
| [4] | Hu, J.H., Liu, F.X. and You, J.H. (2014) Panel Data Partially Linear Model with Fixed Effects, Spatial Autoregressive Error Components and Unspecified Intertemporal Correlation. Journal of Multivariate Analysis, 130, 64-89.
https://doi.org/10.1016/j.jmva.2014.05.002 |
| [5] | Zhang, Y.Q. and Yang G.R. (2015) Estimation of Partially Specified Spatial Panel Data Models with Random-Effects. Acta Mathematica Sinica, 31, 456-478. https://doi.org/10.1007/s10114-015-3569-1 |
| [6] | Bai, Y., Hu, J.H. and You, J.H. (2015) Panel Data Partially Linear Varying-Coefficient Model with Both Spatially and Time-Wise Correlated Errors. Statistica Sinica, 25, 275-294. https://doi.org/10.5705/ss.2013.190w |
| [7] | Zhang, Y.Q. and Shen, D.M. (2015) Estimation of Semi-Parametric Varying-Coefficient Spatial Panel Data Models with Random-Effects. Journal of Statistical Planning and Inference, 159, 64-80.
https://doi.org/10.1016/j.jspi.2014.11.001 |
| [8] | Lee, L.F. and Yu, J. (2010) Estimation of Spatial Autoregressive Panel Data Models with Fixed Effects. Journal of Econometrics, 154, 165-185. https://doi.org/10.1016/j.jeconom.2009.08.001 |
| [9] | Debarsy, N. and Ertur, C. (2010) Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model. Regional Science & Urban Economics, 40, 453-470. https://doi.org/10.1016/j.regsciurbeco.2010.06.001 |
| [10] | Su, L.J. and Jin, S.N. (2010) Profile Quasi-Maximum Likelihood Estimation of Partially Linear Spatial Autoregressive Models. Journal of Econometrics, 157, 18-33. https://doi.org/10.1016/j.jeconom.2009.10.033 |
