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Estimation of partially specified dynamic spatial panel data models with fixed-effects

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  • Zhang, Yuanqing
  • Sun, Yanqing

Abstract

This paper studies estimation of a partially specified spatial dynamic panel data regression with fixed-effects. Under the assumption of strictly exogenous regressors and strictly exogenous spatial weighting matrix, the model is estimated by 2SLS method aided by the sieve method and through the instrumental variable. Under some sufficient conditions, the proposed estimator for the finite dimensional parameter is shown to be root-N consistent and asymptotically normally distributed. The proposed estimator for the unknown function is shown to be consistent and asymptotically distributed as well, though at a rate slower than root-N. Consistent estimators for the asymptotic variance–covariance matrices of both estimators are provided. The results can be generalized to several spatial weighting matrices and spatial matrix which vary with time. The simulation results suggest that the proposed approach has some practical value.

Suggested Citation

  • Zhang, Yuanqing & Sun, Yanqing, 2015. "Estimation of partially specified dynamic spatial panel data models with fixed-effects," Regional Science and Urban Economics, Elsevier, vol. 51(C), pages 37-46.
    • Handle: RePEc:eee:regeco:v:51:y:2015:i:c:p:37-46
    DOI: 10.1016/j.regsciurbeco.2015.01.003
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    Cited by:

    1. Ruiqi Liu & Ben Boukai & Zuofeng Shang, 2019. "Statistical Inference on Partially Linear Panel Model under Unobserved Linearity," Papers 1911.08830, arXiv.org.
    2. Sun, Yanqing & Zhang, Yuanqing & Huang, Jianhua Z., 2019. "Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model," Econometrics and Statistics, Elsevier, vol. 9(C), pages 140-155.
    3. Tizheng Li & Xiaojuan Kang, 2022. "Variable selection of higher-order partially linear spatial autoregressive model with a diverging number of parameters," Statistical Papers, Springer, vol. 63(1), pages 243-285, February.
    4. Adrian Mehic, 2021. "FDML versus GMM for Dynamic Panel Models with Roots Near Unity," JRFM, MDPI, vol. 14(9), pages 1-9, August.
    5. Jiawei Hou & Yunquan Song, 2022. "Interquantile shrinkage in spatial additive autoregressive models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(4), pages 1030-1057, December.
    6. Yashar Tarverdi, 2018. "Aspects of Governance and $$\hbox {CO}_2$$ CO 2 Emissions: A Non-linear Panel Data Analysis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 69(1), pages 167-194, January.
    7. Liu, Yu & Zhuang, Xiaoyang, 2023. "Shrinkage estimation of semi-parametric spatial autoregressive panel data model with fixed effects," Statistics & Probability Letters, Elsevier, vol. 194(C).

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