Title of article :
Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation
Author/Authors :
Hu، نويسنده , , Jianhua and Liu، نويسنده , , Fuxiang and You، نويسنده , , Jinhong، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2014
Abstract :
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.
Keywords :
temporal correlation , Generalized Method of Moments , Panel data , Partially linear model , Fixed Effect , Spatial correlation
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis