Estimation of Partially Specified Spatial Panel Data Models with Random-Effects

• Published in: Acta mathematica Sinica. English series Vol. 31; no. 3; pp. 456 - 478
• Main Authors: Zhang, Yuan Qing, Yang, Guang Ren
• Format: Journal Article
• Language: English
• Published: Heidelberg Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society 01.03.2015; Springer Nature B.V
• Subjects: Asymptotic methods; Asymptotic properties; Computer simulation; Data models; Estimators; Mathematical analysis; Mathematical models; Mathematics; Mathematics and Statistics; Monte Carlo methods; Monte Carlo simulation; Panels; Regression; Regression analysis; Studies; Variables; Weighting; 估计量; 数据模型; 渐近正态分布; 空间; 线性回归; 蒙特卡罗模拟; 随机效应; 面板; 62G05; 62G20; Spatial; panel data; partially linear
• ISSN: 1439-8516; 1439-7617
• DOI: 10.1007/s10114-015-3569-1

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.