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Estimation of fixed effects partially linear varying coefficient spatial autoregressive model with disturbances correlated in space and time

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  • Li, Bogui
  • Chen, Hao

Abstract

In order to fully capture the substantive spatial effect, linear and varying coefficient effects of regressors, and space–time correlations of disturbances, this paper introduces a new fixed effects partially linear varying coefficient spatial autoregressive model (PLVCSARM) with disturbances correlated in space and time. Its profile quasi-maximum likelihood estimators (PQMLEs) are constructed. Under some mild conditions, the consistency and asymptotic normality of the PQMLEs are derived. Simulation results show that the proposed estimates perform well in finite sample cases.

Suggested Citation

  • Li, Bogui & Chen, Hao, 2024. "Estimation of fixed effects partially linear varying coefficient spatial autoregressive model with disturbances correlated in space and time," Finance Research Letters, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011911
    DOI: 10.1016/j.frl.2023.104819
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    References listed on IDEAS

    as
    1. Bogui Li & Jianbao Chen & Shuangshuang Li, 2023. "Estimation of Fixed Effects Partially Linear Varying Coefficient Panel Data Regression Model with Nonseparable Space-Time Filters," Mathematics, MDPI, vol. 11(6), pages 1-24, March.
    2. Roberto Basile, 2008. "Regional economic growth in Europe: A semiparametric spatial dependence approach," Papers in Regional Science, Wiley Blackwell, vol. 87(4), pages 527-544, November.
    3. Yu, Jihai & de Jong, Robert & Lee, Lung-fei, 2008. "Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large," Journal of Econometrics, Elsevier, vol. 146(1), pages 118-134, September.
    4. Wei Wang & Lung-fei Lee, 2018. "GMM estimation of spatial panel data models with common factors and a general space–time filter," Spatial Economic Analysis, Taylor & Francis Journals, vol. 13(2), pages 247-269, April.
    5. Zhang, Wenyang & Lee, Sik-Yum & Song, Xinyuan, 2002. "Local Polynomial Fitting in Semivarying Coefficient Model," Journal of Multivariate Analysis, Elsevier, vol. 82(1), pages 166-188, July.
    6. Lee, Lung-fei & Yu, Jihai, 2015. "Estimation of fixed effects panel regression models with separable and nonseparable space–time filters," Journal of Econometrics, Elsevier, vol. 184(1), pages 174-192.
    7. H. Kelejian, Harry & Prucha, Ingmar R., 2001. "On the asymptotic distribution of the Moran I test statistic with applications," Journal of Econometrics, Elsevier, vol. 104(2), pages 219-257, September.
    8. Cheng, Suli & Chen, Jianbao, 2023. "GMM estimation of partially linear additive spatial autoregressive model," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
    9. Elhorst, J. Paul, 2008. "Serial and spatial error correlation," Economics Letters, Elsevier, vol. 100(3), pages 422-424, September.
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    More about this item

    Keywords

    PLVCSARM; PQMLE; Space–time correlated disturbances; Asymptotic property; Monte Carlo simulation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G00 - Financial Economics - - General - - - General

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