Estimation of Varying-Coefficient Spatial Auto-Regression Panel Model with Random Effects


具有良好可读性和稳健性的变系数模型在各学科领域应用广泛。本文构建了一种新的随机效应变系数空间自回归面板模型,运用截面极大似然估计方法,导出了模型的估计量,证明其具备一致性和渐近正态性,蒙特卡洛模拟研究显示估计量的小样本表现效果良好。Varying coefficient models with superior readability and robustness have been widely used in a variety of research fields. In this paper, it proposes the new varying coefficient spatial autoregrcssive panel model with random effects. By the profile maximum likelihood estimators are constructed, it gets the consistency and asymptotical normality of these estimators. The Monte Carlo simulation shows that the estimators have good performances under finite samples.本文为国家社会科学基金项目“半参数变系数空间自回归模型的理论及应用研究”(16BTJ018)、教育部人文社会科学重点研究基地重大项目“集聚经济下的中国地方政府财税行为研究”(15JJD790029)、教育部人文社会科学项目“空间自回归单指数模型的理论和实践”(13YJA9100002)和福建省自然科学基金项目“几类新的变系数空间白回归模型的估计和应用研究”(2017J01396)的阶段性成果

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oaioai:dspace.xmu.edu.cn:2288/163707Last time updated on 6/10/2020View original full text link

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