统计研究 ›› 2017, Vol. 34 ›› Issue (12): 99-109.doi: 10.19343/j.cnki.11-1302/c.2017.12.009

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部分线性固定效应空间滞后面板模型的估计研究

许永洪 陈剑伟   

  • 出版日期:2017-12-25 发布日期:2017-12-25

Estimation in Partially Linear Spatial Lag Panel Model with Fixed Effects

Xu Yonghong & Chen Jianwei   

  • Online:2017-12-25 Published:2017-12-25

摘要: 本文构建了一类部分线性固定效应空间滞后面板模型,在此模型中,综合考虑了固定效应、参数自变量和非参数自变量的影响。基于截面拟极大似然估计方法对模型的参数部分和非参数部分进行了估计,并在个体数 和时期数 都很大的情况下,推导估计量的大样本表现。研究结果表明,在大样本条件下,估计量具有一致性,参数估计量满足渐近正态分布并且收敛速度为 。

关键词: 固定效应, 部分线性, 空间滞后面板模型

Abstract: We proposed a class of partially linear spatial lag panel model with fixed effects. The influence of fixed effect, parameter and nonparametric independent variables are considered synthetically in the model. The parametric and nonparametric parts of the model are estimated on the basis of the profile quasi-maximum likelihood estimation, and asymptotic properties for the estimators are deduced under the condition that the number of individuals and the number of periods are large. The results show that, under large sample conditions, the estimators are consistent and the parameter estimator satisfies the asymptotic normal distribution and the convergence rate is .

Key words: Fixed Effect, Partially Linear, Spatial Lag Panel Model