统计研究

• 论文 • 上一篇    

随机效应变系数空间自回归面板模型的估计

陈建宝 孙林   

  • 出版日期:2017-05-15 发布日期:2017-05-16

Estimation of Varying-Coefficient Spatial Auto-Regression Panel Model with Random Effects

Chen Jianbao & Sun Lin   

  • Online:2017-05-15 Published:2017-05-16

摘要: :具有良好可读性和稳健性的变系数模型在各学科领域应用广泛。本文构建了一种新的随机效应变系数空间自回归面板模型,运用截面极大似然估计方法,导出了模型的估计量,证明了其具备一致性和渐近正态性,蒙特卡洛模拟研究显示估计量的小样本表现效果良好。

关键词: 随机效应, 变系数空间自回归面板模型, 截面极大似然估计

Abstract: Varying coefficient models with superior readability and robustness have been widely used in a variety of research fields. In this paper, it proposes the new varying coefficient spatial autoregressive panel model with random effects. By the profile maximum likelihood estimators are constructed, it gets the consistency and asymptotical normality of these estimators. The Monte Carlo simulation shows that the estimators have good performances under finite samples.

Key words: Random Effects, Varying-Coefficients Spatial Auto-Regression Panel Model, Profile Maximum Likelihood Estimation