固定效应部分线性变系数空间自回归面板模型的偏误纠正估计

丁飞鹏

数学学报 ›› 2025, Vol. 68 ›› Issue (1) : 173-196.

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PDF(842 KB)
数学学报 ›› 2025, Vol. 68 ›› Issue (1) : 173-196. DOI: 10.12386/A20220056
论文

固定效应部分线性变系数空间自回归面板模型的偏误纠正估计

    丁飞鹏1,2
作者信息 +

Bias Correction Estimation for Partially Linear Varying Coefficient Spatial Autoregressive Panel Model with Fixed Effects

    Feipeng Ding1,2
Author information +
文章历史 +

摘要

将偏误纠正法、变量变换法及二次推断函数法有机结合, 为个体内存在相关性的部分线性变系数空间自回归固定效应面板模型建立了一种有效估计方法. 进一步, 在一些正则条件下, 证明了参数估计量的渐近正态性, 推导了系数函数估计量的收敛速度. 最后, 采用Monte Carlo模拟和真实数据分析评估了估计方法在有限样本下的表现.

Abstract

In this paper, we construct an efficient estimation method for partially linear varying coefficient spatial autoregressive panel model with fixed effects by combining bias correction, variable transformation and quadratic inference functions. Moreover, under some regularity conditions, asymptotic normality of parameter estimators is proved and convergence rate of the estimators of coefficient functions is derived. Lastly, the performance of the proposed method under the finite samples is evaluated by Monte Carlo simulation and real data analysis.

关键词

偏误纠正 / 空间自回归 / 部分线性变系数 / 面板数据

Key words

bias correction / spatial autoregressive / partially linear varying coefficient / panel data

引用本文

导出引用
丁飞鹏. 固定效应部分线性变系数空间自回归面板模型的偏误纠正估计. 数学学报, 2025, 68(1): 173-196 https://doi.org/10.12386/A20220056
Feipeng Ding. Bias Correction Estimation for Partially Linear Varying Coefficient Spatial Autoregressive Panel Model with Fixed Effects. Acta Mathematica Sinica, Chinese Series, 2025, 68(1): 173-196 https://doi.org/10.12386/A20220056
中图分类号: O212.1   

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基金

国家自然科学基金资助项目(71961011),江西高校人文社科基金资助项目(TJ19203)
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