One-step oracle procedure for semi-parametric spatial autoregressive model and its empirical application to Boston housing price data

Fang Lu, Jing Yang () and Xuewen Lu
Additional contact information
Fang Lu: Hunan Normal University
Jing Yang: Hunan Normal University
Xuewen Lu: University of Calgary

Empirical Economics, 2022, vol. 62, issue 6, No 1, 2645-2671

Abstract: Abstract Issues concerning spatial dependence among cross-sectional units in econometrics have received more and more attention. Motivated by a Boston housing price data analysis, this paper studies the sparse inference of varying coefficient partially linear spatial autoregressive model, which is quite valuable in econometrics with high-dimensional data. A novel, efficient and convenient one-step variable selection procedure is proposed by using a twofold penalty for simultaneous estimation and variable selection of the parametric components and varying coefficient functions, in which the varying coefficient functions are approximated by the B-spline basis. Under some regularity conditions, asymptotic properties of the resulting estimators are established, including consistency, asymptotic normality and the oracle property. Besides, the optimal choices of the tuning parameters are discussed and a practical iterative algorithm based on the locally quadratic approximation approach is presented for implementation. Finally, extensive numerical simulations and a Boston housing price data analysis are conducted to confirm the finite sample performance and theoretical findings of the new method.

Keywords: Semi-parametric econometric model; Spatial dependence; Variable selection; Asymptotic property; Boston housing price data (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s00181-021-02118-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:empeco:v:62:y:2022:i:6:d:10.1007_s00181-021-02118-z

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-021-02118-z

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().