Estimation of fixed effects partially linear varying coefficient spatial autoregressive model with disturbances correlated in space and time

Bogui Li and Hao Chen

Finance Research Letters, 2024, vol. 59, issue C

Abstract: In order to fully capture the substantive spatial effect, linear and varying coefficient effects of regressors, and space–time correlations of disturbances, this paper introduces a new fixed effects partially linear varying coefficient spatial autoregressive model (PLVCSARM) with disturbances correlated in space and time. Its profile quasi-maximum likelihood estimators (PQMLEs) are constructed. Under some mild conditions, the consistency and asymptotic normality of the PQMLEs are derived. Simulation results show that the proposed estimates perform well in finite sample cases.

Keywords: PLVCSARM; PQMLE; Space–time correlated disturbances; Asymptotic property; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C13 C14 C23 G00 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323011911
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011911

DOI: 10.1016/j.frl.2023.104819

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().