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Statistical inference of partially linear varying coefficient spatial autoregressive models

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  • Wei, Chuanhua
  • Guo, Shuang
  • Zhai, Shufen

Abstract

This paper proposes a semiparametric partially linear varying coefficient spatial autoregressive model, which is a generalization of standard spatial autoregressive model and partially linear spatial autoregressive model. To estimate the unknown spatial lag parameter, constant coefficients and coefficient functions, a profile quasi-maximum likelihood approach based on the local-linear method is introduced. To test the existence of the spatial effects, a generalized likelihood ratio test statistic is proposed, and a residual-based bootstrap procedure is used to derive the p-value of the test. Some simulations are conducted to examine the performance of our proposed procedures and the results are satisfactory. Furthermore, a real-world example is given to demonstrate the application of the proposed procedures.

Suggested Citation

  • Wei, Chuanhua & Guo, Shuang & Zhai, Shufen, 2017. "Statistical inference of partially linear varying coefficient spatial autoregressive models," Economic Modelling, Elsevier, vol. 64(C), pages 553-559.
    • Handle: RePEc:eee:ecmode:v:64:y:2017:i:c:p:553-559
    DOI: 10.1016/j.econmod.2017.04.015
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    1. Fang Lu & Jing Yang & Xuewen Lu, 2022. "One-step oracle procedure for semi-parametric spatial autoregressive model and its empirical application to Boston housing price data," Empirical Economics, Springer, vol. 62(6), pages 2645-2671, June.

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    More about this item

    Keywords

    Partially linear varying coefficient model; Spatial autoregressive models; Local linear method; Profile quasi-maximum likelihood approach; Generalized likelihood ratio test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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