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Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects

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  • Sun, Yiguo
  • Malikov, Emir

Abstract

This paper develops an innovative way of estimating a functional-coefficient spatial autoregressive panel data model with unobserved individual effects which can accommodate (multiple) time-invariant regressors with a large number of cross-sectional units and a finite time periods. Our proposed methodology removes unobserved fixed effects from the model by transforming the latter into a semiparametric additive model, however avoids using backfitting technique. We derive the limiting results for the proposed estimators and construct a consistent nonparametric test to test for spatial endogeneity. A small Monte Carlo study shows that our proposed estimators and test statistic exhibit good finite-sample performance.

Suggested Citation

  • Sun, Yiguo & Malikov, Emir, 2018. "Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 203(2), pages 359-378.
  • Handle: RePEc:eee:econom:v:203:y:2018:i:2:p:359-378
    DOI: 10.1016/j.jeconom.2017.12.006
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    More about this item

    Keywords

    First difference; Fixed effects; Hypothesis testing; Local linear regression; Nonparametric GMM; Sieve estimator; Spatial autoregressive; Varying coefficient;
    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
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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