PQMLE of a Partially Linear Varying Coefficient Spatial Autoregressive Panel Model with Random Effects

Abstract

This article deals with asymmetrical spatial data which can be modeled by a partially linear varying coefficient spatial autoregressive panel model (PLVCSARPM) with random effects. We constructed its profile quasi-maximum likelihood estimators (PQMLE). The consistency and asymptotic normality of the estimators were proved under some regular conditions. Monte Carlo simulations implied our estimators have good finite sample performance. Finally, a set of asymmetric real data applications was analyzed for illustrating the performance of the provided method.

Keywords

• PLVCSARPM
• PQMLE
• consistency asymptotic normality
• Monte Carlo simulation
• asymmetric data