GMM Estimation of a Partially Linear Additive Spatial Error Model

Jianbao Chen and Suli Cheng
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Jianbao Chen: College of Mathematics and Informatics, Fujian Normal University, Fuzhou 350117, China
Suli Cheng: College of Mathematics and Informatics, Fujian Normal University, Fuzhou 350117, China

Mathematics, 2021, vol. 9, issue 6, 1-28

Abstract: This article presents a partially linear additive spatial error model (PLASEM) specification and its corresponding generalized method of moments (GMM). It also derives consistency and asymptotic normality of estimators for the case with a single nonparametric term and an arbitrary number of nonparametric additive terms under some regular conditions. In addition, the finite sample performance for our estimates is assessed by Monte Carlo simulations. Lastly, the proposed method is illustrated by analyzing Boston housing data.

Keywords: PLASEM; local linear estimation; GMM estimation; consistency; asymptotic normality; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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