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Spatial Semiparametric Model With Endogenous Regressors

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  • Jenish, Nazgul

Abstract

This paper proposes a semiparametric generalized method of moments estimator (GMM) estimator for a partially parametric spatial model with endogenous spatially dependent regressors. The finite-dimensional estimator is shown to be consistent and root-n asymptotically normal under some reasonable conditions. A spatial heteroscedasticity and autocorrelation consistent covariance estimator is constructed for the GMM estimator. The leading application is nonlinear spatial autoregressions, which arise in a wide range of strategic interaction models. To derive the asymptotic properties of the estimator, the paper also establishes a stochastic equicontinuity criterion and functional central limit theorem for near-epoch dependent random fields.

Suggested Citation

  • Jenish, Nazgul, 2016. "Spatial Semiparametric Model With Endogenous Regressors," Econometric Theory, Cambridge University Press, vol. 32(3), pages 714-739, June.
    • Handle: RePEc:cup:etheor:v:32:y:2016:i:03:p:714-739_00
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    Cited by:

    1. Hoshino, Tadao, 2022. "Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect," Journal of Econometrics, Elsevier, vol. 229(2), pages 263-275.
    2. Abhimanyu Gupta & Javier Hidalgo, 2020. "Nonparametric prediction with spatial data," Papers 2008.04269, arXiv.org, revised Nov 2021.
    3. Gupta, Abhimanyu, 2018. "Autoregressive spatial spectral estimates," Journal of Econometrics, Elsevier, vol. 203(1), pages 80-95.
    4. Michael P. Leung, 2019. "Inference in Models of Discrete Choice with Social Interactions Using Network Data," Papers 1911.07106, arXiv.org.
    5. Gupta, Abhimanyu, 2018. "Nonparametric specification testing via the trinity of tests," Journal of Econometrics, Elsevier, vol. 203(1), pages 169-185.
    6. Rubo Zhao & Yixiang Tian & Ao Lei & Francis Boadu & Ze Ren, 2019. "The Effect of Local Government Debt on Regional Economic Growth in China: A Nonlinear Relationship Approach," Sustainability, MDPI, vol. 11(11), pages 1-22, May.
    7. Michael P. Leung & Hyungsik Roger Moon, 2019. "Normal Approximation in Large Network Models," Papers 1904.11060, arXiv.org, revised Feb 2023.

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