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Estimation of partially specified spatial panel data models with random-effects

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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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Authors and Affiliations

  1. School of Finance and Business, Shanghai Normal University, Shanghai, 200234, P. R. China

    Yuan Qing Zhang

  2. Key Laboratory of Mathematical Economics (SUFE), Ministry of Education, Shanghai, 200433, P. R. China

    Yuan Qing Zhang

  3. School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, 200433, P. R. China

    Yuan Qing Zhang

  4. Department of Statistics, School of Economics, Jinan University, Guangzhou, 510632, P. R. China

    Guang Ren Yang

Authors
  1. Yuan Qing Zhang
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  2. Guang Ren Yang
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Correspondence to Guang Ren Yang.

Additional information

The first author is supported by National Natural Science Foundation of China (Grant Nos. 71371118, 71471117), Plateau and Peak Disciplines of Shanghai — Business Management Research Team, National Social Science Fund of China (Grant No. 14BJY012), Program for Changjiang Scholars and Innovative Research Team in University (Grant No. PCSIRTIRT13077) and the State Key Program of National Natural Science of China (Grant No. 71331006); the second author is supported by National Nature Science Foundation of China (Grant Nos. 11101442, 11471086)

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Zhang, Y.Q., Yang, G.R. Estimation of partially specified spatial panel data models with random-effects. Acta. Math. Sin.-English Ser. 31, 456–478 (2015). https://doi.org/10.1007/s10114-015-3569-1

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  • DOI: https://doi.org/10.1007/s10114-015-3569-1

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