Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation

doi:10.1016/j.jmva.2014.05.002

CORC > 上海财经大学 > 上海财经大学

	Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation
	Hu, Jianhua 1,2; Liu, Fuxiang 1,3; You, Jinhong 1,2
刊名	JOURNAL OF MULTIVARIATE ANALYSIS
	2014-09
卷号	130 页码:64-89
关键词	Panel data Partially linear model Fixed effect Spatial correlation Temporal correlation Generalized method of moments
ISSN号	0047-259X
DOI	10.1016/j.jmva.2014.05.002
英文摘要	This paper considers the estimating problem of a panel data partially linear model with spatial autoregressive errors and fixed effects. In addition, we allow the idiosyncratic errors to be intertemporally correlated. By combining the polynomial spline series approximation, the semiparametric least squares method and the difference based technique, a new generalized moment estimator for the autoregressive parameter of the spatial model is constructed. Its consistency and asymptotic normality are established. In order to avoid the incidental parameter problem, a difference based intertemporal covariance matrix estimator is proposed. Based on the estimated spatially and time-wise correlated error structure, we further construct a weighted difference based semiparametric least squares estimator (WDSLSE) and a weighted difference based polynomial spline series estimator (WDPSSE) for the parametric and nonparametric components of the mean model, respectively. We develop an asymptotic theory for these two estimators, including the asymptotic normality, asymptotic efficiency and convergence rate. In particular, we show that the parametric component estimator has the same asymptotic distribution as that based on completely known spatial autoregressive parameter and intertemporal covariance matrix. Simulation studies demonstrate that our asymptotic theory is applicable for finite samples, and the analysis of a real data set illustrates the usefulness of our developed methodology. (C) 2014 Elsevier Inc. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	ELSEVIER INC
WOS记录号	WOS:000339413100005
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1708]
专题	上海财经大学
通讯作者	Liu, Fuxiang
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 2.Minist Educ, Key Lab Math Econ SUFE, Shanghai 200433, Peoples R China; 3.China Three Gorges Univ, Coll Sci, Yichang 443002, Hubei, Peoples R China
推荐引用方式 GB/T 7714	Hu, Jianhua,Liu, Fuxiang,You, Jinhong. Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2014,130:64-89.
APA	Hu, Jianhua,Liu, Fuxiang,&You, Jinhong.(2014).Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation.JOURNAL OF MULTIVARIATE ANALYSIS,130,64-89.
MLA	Hu, Jianhua,et al."Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation".JOURNAL OF MULTIVARIATE ANALYSIS 130(2014):64-89.