Estimation of partially specified spatial panel data models with fixed-effects. (16th March 2017)

• Record Type: Journal Article
• Authors: Ai, Chunrong; Zhang, Yuanqing
• Is Part Of: Econometric reviews. Volume 36:Number 1/3(2017)
• Page Start: 6
• Page End: 22
• Publication Date: 2017-03-16
• Subjects: Asymptotic theory -- panel data -- partially linear -- spatial; C14 -- C22; Econometrics -- Periodicals; 330.015195
• DOI: 10.1080/07474938.2015.1113641
• Languages: English
• ISSNs: 0747-4938

Abstract

ABSTRACT: This article extends the spatial panel data regression with fixed-effects to the case where the regression function is partially linear and some regressors may be endogenous or predetermined. Under the assumption that the spatial weighting matrix is strictly exogenous, we propose a sieve two stage least squares (S2SLS) regression. Under some sufficient conditions, we show that the proposed estimator for the finite dimensional parameter is root-N consistent and asymptotically normally distributed and that the proposed estimator for the unknown function is consistent and also asymptotically normally distributed but at a rate slower than root-N. Consistent estimators for the asymptotic variances of the proposed estimators are provided. A small scale simulation study is conducted, and the simulation results show that the proposed procedure has good finite sample performance.