Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application

Han Hong, Gaosheng Ju, Qi Li and Karen X. Yan

Journal of Econometrics, 2024, vol. 245, issue 1

Abstract: This paper considers a varying-coefficient spatial dynamic panel data model with fixed effects. We show that a two-point approximation method poses a potential weak identification problem. We propose a robust modified estimator to address this issue. Our two-step estimation procedure incorporates both linear and quadratic moment conditions. We also extend our analysis to a partially linear varying-coefficient model and develop a consistent test for this specification. We establish the asymptotic properties of the proposed estimators. Simulations indicate that our estimators and the test statistic perform well in finite samples. We apply the partially linear varying-coefficient model to study how the sales of liquor producers respond to those of neighboring competitors in China. We find spatial dependence among liquor producers and show that the spatial effects vary with competition intensity.

Keywords: Spatial model; Dynamic panel data model; Fixed effects; Varying coefficients (search for similar items in EconPapers)
JEL-codes: C13 C14 C21 C23 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407624002288
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:econom:v:245:y:2024:i:1:s0304407624002288

DOI: 10.1016/j.jeconom.2024.105883

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().