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

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  • Chunrong Ai
  • Yuanqing Zhang

Abstract

This article extends the spatial panel data regression with fixed-effects to the case where the regression function is partially linear and some regressors may be endogenous or predetermined. Under the assumption that the spatial weighting matrix is strictly exogenous, we propose a sieve two stage least squares (S2SLS) regression. Under some sufficient conditions, we show that the proposed estimator for the finite dimensional parameter is root-N consistent and asymptotically normally distributed and that the proposed estimator for the unknown function is consistent and also asymptotically normally distributed but at a rate slower than root-N. Consistent estimators for the asymptotic variances of the proposed estimators are provided. A small scale simulation study is conducted, and the simulation results show that the proposed procedure has good finite sample performance.

Suggested Citation

  • Chunrong Ai & Yuanqing Zhang, 2017. "Estimation of partially specified spatial panel data models with fixed-effects," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 6-22, March.
    • Handle: RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:6-22
    DOI: 10.1080/07474938.2015.1113641
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    Citations

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    Cited by:

    1. 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.
    2. 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.
    3. Luo, Guowang & Wu, Mixia & Pang, Zhen, 2022. "Estimation of spatial autoregressive models with covariate measurement errors," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    4. Sanying Feng & Tiejun Tong & Sung Nok Chiu, 2023. "Statistical Inference for Partially Linear Varying Coefficient Spatial Autoregressive Panel Data Model," Mathematics, MDPI, vol. 11(22), pages 1-19, November.
    5. Fang Lu & Jing Yang & Xuewen Lu, 2022. "One-step oracle procedure for semi-parametric spatial autoregressive model and its empirical application to Boston housing price data," Empirical Economics, Springer, vol. 62(6), pages 2645-2671, June.
    6. He Jiang, 2023. "Robust forecasting in spatial autoregressive model with total variation regularization," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 195-211, March.
    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.
    8. 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.
    9. 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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