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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 in the model with a large number of cross-sectional units and a fixed number of time periods. The methodology we propose removes unobserved fixed effects from the model by transforming the latter into a semiparametric additive model, the estimation of which however does not require the use of backfitting or marginal integration techniques. We derive the consistency and asymptotic normality results for the proposed kernel and sieve estimators. We also construct a consistent nonparametric test to test for spatial endogeneity in the data. A small Monte Carlo study shows that our proposed estimators and the test statistic exhibit good finite-sample performance.

Suggested Citation

  • Sun, Yiguo & Malikov, Emir, 2017. "Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects," MPRA Paper 83671, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:83671
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    2. Taining Wang & Jinjing Tian & Feng Yao, 2021. "Does high debt ratio influence Chinese firms’ performance? A semiparametric stochastic frontier approach with zero inefficiency," Empirical Economics, Springer, vol. 61(2), pages 587-636, August.
    3. Alberto Gude & Inmaculada Álvarez & Luis Orea, 2018. "Heterogeneous spillovers among Spanish provinces: a generalized spatial stochastic frontier model," Journal of Productivity Analysis, Springer, vol. 50(3), pages 155-173, December.
    4. Xuan Liang & Jiti Gao & Xiaodong Gong, 2022. "Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1784-1802, October.
    5. Guo, Juncong & Qu, Xi, 2020. "Fixed effects spatial panel data models with time-varying spatial dependence," Economics Letters, Elsevier, vol. 196(C).
    6. Orea, Luis & Álvarez, Inmaculada C., 2019. "Spatial Production Economics," Efficiency Series Papers 2019/06, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG).

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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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