Statistical inference of partially linear varying coefficient spatial autoregressive models

Chuanhua Wei, Shuang Guo and Shufen Zhai

Economic Modelling, 2017, vol. 64, issue C, 553-559

Abstract: This paper proposes a semiparametric partially linear varying coefficient spatial autoregressive model, which is a generalization of standard spatial autoregressive model and partially linear spatial autoregressive model. To estimate the unknown spatial lag parameter, constant coefficients and coefficient functions, a profile quasi-maximum likelihood approach based on the local-linear method is introduced. To test the existence of the spatial effects, a generalized likelihood ratio test statistic is proposed, and a residual-based bootstrap procedure is used to derive the p-value of the test. Some simulations are conducted to examine the performance of our proposed procedures and the results are satisfactory. Furthermore, a real-world example is given to demonstrate the application of the proposed procedures.

Keywords: Partially linear varying coefficient model; Spatial autoregressive models; Local linear method; Profile quasi-maximum likelihood approach; Generalized likelihood ratio test (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 C21 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:64:y:2017:i:c:p:553-559

DOI: 10.1016/j.econmod.2017.04.015

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