GMM Estimation of a Partially Linear Additive Spatial Error Model

被引：6

作者：

Chen, Jianbao ^{[1
]}

Cheng, Suli ^{[1
,2
]}

机构：

[1] Fujian Normal Univ, Coll Math & Informat, Fuzhou 350117, Peoples R China

[2] Chongqing Technol & Business Univ, Coll Math & Stat, Chongqing 400067, Peoples R China

来源：

MATHEMATICS | 2021年 / 9卷 / 06期

关键词：

PLASEM; local linear estimation; GMM estimation; consistency; asymptotic normality; Monte Carlo simulation;

D O I：

10.3390/math9060622

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This article presents a partially linear additive spatial error model (PLASEM) specification and its corresponding generalized method of moments (GMM). It also derives consistency and asymptotic normality of estimators for the case with a single nonparametric term and an arbitrary number of nonparametric additive terms under some regular conditions. In addition, the finite sample performance for our estimates is assessed by Monte Carlo simulations. Lastly, the proposed method is illustrated by analyzing Boston housing data.

引用

页数：28

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