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Estimation of fixed effects partially linear varying coefficient spatial autoregressive model with disturbances correlated in space and time

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  • Li, Bogui
  • Chen, Hao

Abstract

In order to fully capture the substantive spatial effect, linear and varying coefficient effects of regressors, and space–time correlations of disturbances, this paper introduces a new fixed effects partially linear varying coefficient spatial autoregressive model (PLVCSARM) with disturbances correlated in space and time. Its profile quasi-maximum likelihood estimators (PQMLEs) are constructed. Under some mild conditions, the consistency and asymptotic normality of the PQMLEs are derived. Simulation results show that the proposed estimates perform well in finite sample cases.

Suggested Citation

  • Li, Bogui & Chen, Hao, 2024. "Estimation of fixed effects partially linear varying coefficient spatial autoregressive model with disturbances correlated in space and time," Finance Research Letters, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011911
    DOI: 10.1016/j.frl.2023.104819
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    More about this item

    Keywords

    PLVCSARM; PQMLE; Space–time correlated disturbances; Asymptotic property; Monte Carlo simulation;
    All these keywords.

    JEL classification:

    • 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
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G00 - Financial Economics - - General - - - General

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