Economics at your fingertips  

Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects

Yiguo Sun and Emir Malikov ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper develops an innovative way of estimating a functional-coefficient spatial autoregressive panel data model with unobserved individual effects which can accommodate (multiple) time-invariant regressors in the model with a large number of cross-sectional units and a fixed number of time periods. The methodology we propose removes unobserved fixed effects from the model by transforming the latter into a semiparametric additive model, the estimation of which however does not require the use of backfitting or marginal integration techniques. We derive the consistency and asymptotic normality results for the proposed kernel and sieve estimators. We also construct a consistent nonparametric test to test for spatial endogeneity in the data. A small Monte Carlo study shows that our proposed estimators and the test statistic exhibit good finite-sample performance.

Keywords: First Difference; Fixed Effects; Hypothesis Testing; Local Linear Regression; Nonparametric GMM; Sieve Estimator; Spatial Autoregressive; Varying Coefficient (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 C23 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) original version (application/pdf)

Related works:
Journal Article: Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects (2018) Downloads
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:

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

Page updated 2020-02-19
Handle: RePEc:pra:mprapa:83671