固定效应时变系数空间自回归面板数据模型

Xuan Liang, Jiti Gao, X. Gong
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引用次数: 2

摘要

本文建立了一个具有个体固定效应的时变系数空间自回归面板数据模型,以捕捉随时间变化的回归量的非线性效应。为了有效地估计模型,我们提出了一种结合非参数局部线性方法和集中拟极大似然估计方法来获得空间系数和时变系数函数的一致估计量的方法。这些估计量的渐近性质也得到了推导,分别给出了参数分量的正则sqrt(NT)-收敛速率和非参数分量的普通sqrt(NTh)-收敛速率。通过蒙特卡罗仿真验证了该方法的有限样本性能。同时,本文以中国185个城市为研究对象,对中国劳动生产率的空间影响和时变溢出效应进行了分析,并与华东地区进行了比较。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects
This paper develops a time-varying coefficient spatial autoregressive panel data model with the individual fixed effects to capture the nonlinear effects of the regressors, which vary over the time. To effectively estimate the model, we propose a method that incorporates the nonparametric local linear method and the concentrated quasi-maximum likelihood estimation method to obtain consistent estimators for the spatial coefficient and the time-varying coefficient function. The asymptotic properties of these estimators are derived as well, showing the regular sqrt(NT)-rate of convergence for the parametric parameters and the common sqrt(NTh)-rate of convergence for the nonparametric component, respectively. Monte Carlo simulations are conducted to illustrate the finite sample performance of our proposed method. Meanwhile, we apply our method to study the Chinese labor productivity to identify the spatial influences and the time-varying spillover effects among 185 Chinese cities with comparison to the results on a subregion East China.
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