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

被引:1
|
作者
Li, Bogui [1 ]
Chen, Hao [2 ]
机构
[1] Fujian Normal Univ, Sch Math & Stat, Fuzhou 350117, Peoples R China
[2] Univ Wisconsin Madison, Dept Stat, Madison, WI 53705 USA
关键词
PLVCSARM; PQMLE; Space-time correlated disturbances; Asymptotic property; Monte Carlo simulation; EQUATIONS;
D O I
10.1016/j.frl.2023.104819
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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.
引用
收藏
页数:12
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