Statistical Inference for Partially Linear Varying Coefficient Spatial Autoregressive Panel Data Model
This paper studies the estimation and inference of a partially linear varying coefficient spatial autoregressive panel data model with fixed effects. By means of the basis function approximations and the instrumental variable methods, we propose a two-stage least squares estimation procedure to esti...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-11-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/11/22/4606 |
| _version_ | 1827639415591141376 |
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| author | Sanying Feng Tiejun Tong Sung Nok Chiu |
| author_facet | Sanying Feng Tiejun Tong Sung Nok Chiu |
| author_sort | Sanying Feng |
| collection | DOAJ |
| description | This paper studies the estimation and inference of a partially linear varying coefficient spatial autoregressive panel data model with fixed effects. By means of the basis function approximations and the instrumental variable methods, we propose a two-stage least squares estimation procedure to estimate the unknown parametric and nonparametric components, and meanwhile study the asymptotic properties of the proposed estimators. Together with an empirical log-likelihood ratio function for the regression parameters, which follows an asymptotic chi-square distribution under some regularity conditions, we can further construct accurate confidence regions for the unknown parameters. Simulation studies show that the finite sample performance of the proposed methods are satisfactory in a wide range of settings. Lastly, when applied to the public capital data, our proposed model can also better reflect the changing characteristics of the US economy compared to the parametric panel data models. |
| first_indexed | 2024-03-09T16:38:10Z |
| format | Article |
| id | doaj.art-654e98aaf78f4b2fad298c57a4fa491b |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-09T16:38:10Z |
| publishDate | 2023-11-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-654e98aaf78f4b2fad298c57a4fa491b2023-11-24T14:54:10ZengMDPI AGMathematics2227-73902023-11-011122460610.3390/math11224606Statistical Inference for Partially Linear Varying Coefficient Spatial Autoregressive Panel Data ModelSanying Feng0Tiejun Tong1Sung Nok Chiu2School of Mathematics and Statistics, Zhengzhou University, Zhengzhou 450001, ChinaDepartment of Mathematics, Hong Kong Baptist University, Hong KongDepartment of Mathematics, Hong Kong Baptist University, Hong KongThis paper studies the estimation and inference of a partially linear varying coefficient spatial autoregressive panel data model with fixed effects. By means of the basis function approximations and the instrumental variable methods, we propose a two-stage least squares estimation procedure to estimate the unknown parametric and nonparametric components, and meanwhile study the asymptotic properties of the proposed estimators. Together with an empirical log-likelihood ratio function for the regression parameters, which follows an asymptotic chi-square distribution under some regularity conditions, we can further construct accurate confidence regions for the unknown parameters. Simulation studies show that the finite sample performance of the proposed methods are satisfactory in a wide range of settings. Lastly, when applied to the public capital data, our proposed model can also better reflect the changing characteristics of the US economy compared to the parametric panel data models.https://www.mdpi.com/2227-7390/11/22/4606partially linear varying coefficient modelpanel dataspatial autoregressive modelinstrumental variabletwo-stage least squaresempirical likelihood |
| spellingShingle | Sanying Feng Tiejun Tong Sung Nok Chiu Statistical Inference for Partially Linear Varying Coefficient Spatial Autoregressive Panel Data Model Mathematics partially linear varying coefficient model panel data spatial autoregressive model instrumental variable two-stage least squares empirical likelihood |
| title | Statistical Inference for Partially Linear Varying Coefficient Spatial Autoregressive Panel Data Model |
| title_full | Statistical Inference for Partially Linear Varying Coefficient Spatial Autoregressive Panel Data Model |
| title_fullStr | Statistical Inference for Partially Linear Varying Coefficient Spatial Autoregressive Panel Data Model |
| title_full_unstemmed | Statistical Inference for Partially Linear Varying Coefficient Spatial Autoregressive Panel Data Model |
| title_short | Statistical Inference for Partially Linear Varying Coefficient Spatial Autoregressive Panel Data Model |
| title_sort | statistical inference for partially linear varying coefficient spatial autoregressive panel data model |
| topic | partially linear varying coefficient model panel data spatial autoregressive model instrumental variable two-stage least squares empirical likelihood |
| url | https://www.mdpi.com/2227-7390/11/22/4606 |
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