Estimation of partially specified spatial panel data models with random-effects |
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Authors: | Yuan Qing Zhang Guang Ren Yang |
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Institution: | 1. School of Finance and Business, Shanghai Normal University, Shanghai 200234, P. R. China;
2. Key Laboratory of Mathematical Economics (SUFE), Ministry of Education, Shanghai 200433, P. R. China;
3. School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai 200433, P. R. China;
4. Department of Statistics, School of Economics, Jinan University, Guangzhou 510632, P. R. China |
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Abstract: | In this article, we study estimation of a partially specified spatial panel data linear regression with random-effects. Under the conditions of exogenous spatial weighting matrix and exogenous regressors, we give an instrumental variable estimation. Under certain sufficient assumptions, we show that the proposed estimator for the finite dimensional parameter is root-N consistent and asymptotically normally distributed and the proposed estimator for the unknown function is consistent and asymptotically distributed. Consistent estimators for the asymptotic variance-covariance matrices of both the parametric and unknown components are provided. The Monte Carlo simulation results verify our theory and suggest that the approach has some practical value. |
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Keywords: | Spatial panel data partially linear |
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