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

Yuan Qing Zhang, Guangren Yang

Research output: Contribution to journalArticle

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.

Original languageEnglish (US)
Pages (from-to)456-478
Number of pages23
JournalActa Mathematica Sinica, English Series
Volume31
Issue number3
DOIs
StatePublished - Jan 1 2015

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Panel Data
Spatial Data
Random Effects
Data Model
Data structures
Estimator
Unknown
Variance-covariance Matrix
Instrumental Variables
Consistent Estimator
Asymptotic Variance
Covariance matrix
Linear regression
Weighting
Monte Carlo Simulation
Roots
Sufficient
Verify
Monte Carlo simulation

All Science Journal Classification (ASJC) codes

  • Mathematics(all)
  • Applied Mathematics

Cite this

Zhang, Yuan Qing ; Yang, Guangren. / Estimation of partially specified spatial panel data models with random-effects. In: Acta Mathematica Sinica, English Series. 2015 ; Vol. 31, No. 3. pp. 456-478.
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Estimation of partially specified spatial panel data models with random-effects. / Zhang, Yuan Qing; Yang, Guangren.

In: Acta Mathematica Sinica, English Series, Vol. 31, No. 3, 01.01.2015, p. 456-478.

Research output: Contribution to journalArticle

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