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Shrinkage estimation of semi-parametric spatial autoregressive panel data model with fixed effects

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  • Liu, Yu
  • Zhuang, Xiaoyang

Abstract

In this paper, we develop a shrinkage estimator for semi-parametric spatial autoregressive panel data model with fixed effects. Its asymptotic and oracle properties are proved and its finite-sample performance is investigated. The method is also verified with one real data.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:stapro:v:194:y:2023:i:c:s0167715222002590
    DOI: 10.1016/j.spl.2022.109746
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    References listed on IDEAS

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    7. Tianfa Xie & Ruiyuan Cao & Jiang Du, 2020. "Variable selection for spatial autoregressive models with a diverging number of parameters," Statistical Papers, Springer, vol. 61(3), pages 1125-1145, June.
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    11. Guowang Luo & Mixia Wu, 2021. "Variable selection for semiparametric varying-coefficient spatial autoregressive models with a diverging number of parameters," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 50(9), pages 2062-2079, May.
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    Cited by:

    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.

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