Shrinkage estimation of semi-parametric spatial autoregressive panel data model with fixed effects

Yu Liu and Xiaoyang Zhuang

Statistics & Probability Letters, 2023, vol. 194, issue C

Abstract: In this paper, we develop a shrinkage estimator for semi-parametric spatial autoregressive panel data model with fixed effects. Its asymptotic and oracle properties are proved and its finite-sample performance is investigated. The method is also verified with one real data.

Keywords: Shrinkage; Semi-parametric model; Spatial autoregressive; Panel data (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2022.109746

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