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Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients

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  • Xuan, Liang
  • Jiti, Gao
  • xiaodong, Gong

Abstract

This paper develops a time--varying coefficient spatial autoregressive panel data model with individual fixed effects to capture the nonlinear effects of the regressors, which vary over the time. To effectively estimate the model, we propose a method that incorporates local linear estimation and concentrated quasi-maximum likelihood estimation to obtain consistent estimators for the spatial autoregressive coefficient, variance of error term and nonparametric time-varying coefficient function. The asymptotic properties of these estimators are derived as well, showing regular the standard rate of convergence for the parametric parameters and common standard rate of convergence for the time-varying component, respectively. Monte Carlo simulations are conducted to illustrate the finite sample performance of our proposed method. Meanwhile, we apply our method to study the Chinese labor productivity to identify the spatial influences and the time--varying spillover effects among 185 Chinese cities with comparison to the results on a subregion--East China.

Suggested Citation

  • Xuan, Liang & Jiti, Gao & xiaodong, Gong, 2021. "Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients," MPRA Paper 108497, University Library of Munich, Germany, revised 30 May 2021.
    • Handle: RePEc:pra:mprapa:108497
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    2. Shosei Sakaguchi & Hayato Tagawa, 2024. "Identification and Inference for Synthetic Control Methods with Spillover Effects: Estimating the Economic Cost of the Sudan Split," Papers 2408.00291, arXiv.org, revised Oct 2024.
    3. Bogui Li & Jianbao Chen & Hao Chen, 2024. "Estimation of fixed effects semiparametric single-index panel model with spatio-temporal correlated errors," Statistical Papers, Springer, vol. 65(8), pages 4915-4953, October.

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    More about this item

    Keywords

    Concentrated quasi-maximum likelihood estimation; local linear estimation; time-varying coefficient;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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