Trending Time-Varying Coefficient Spatial Panel Data Models

被引：0
|
作者：
Chang, Hsuan-Yu [1 ]
Song, Xiaojun [2 ,3 ]
Yu, Jihai [2 ]
机构：
[1] Peking Univ, Chung Hua Inst Econ Res, Ctr Green Econ, Beijing, Peoples R China
[2] Peking Univ, Guanghua Sch Management, Dept Business Stat & Econometr, Beijing, Peoples R China
[3] Peking Univ, Ctr Stat Sci, Beijing, Peoples R China
来源：
JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2025年 / 43卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Generalized method of moments; Nonlinear time trend; Spatial autoregressive models; Time-varying coefficients; SEMIPARAMETRIC ESTIMATION; AUTOREGRESSIVE MODEL; GMM ESTIMATION; SERIES;
D O I：
10.1080/07350015.2024.2340516
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article investigates the estimation and inference of spatial panel data models in which the regression coefficient vector is a trending function. We use time differences to eliminate the individual effects and employ various GMM estimations for regression coefficients with both linear and quadratic moments. Time trend estimator based on these GMM estimations is also proposed. Monte Carlo experiments show that the finite sample performance of the estimators is satisfactory. As an empirical illustration, we investigate the trending pattern of the spillover effect of air pollution among Chinese cities from 2015 to 2021.
引用
收藏
页码：191 / 203
页数：13
相关论文
共 50 条
  • [21] Panel data models with time-varying latent group structures
    Wang, Yiren
    Phillips, Peter C. B.
    Su, Liangjun
    JOURNAL OF ECONOMETRICS, 2024, 240 (01)
  • [22] Some applications of time-varying coefficient models to count data
    Chiogna, M
    Gaetan, C
    BETWEEN DATA SCIENCE AND APPLIED DATA ANALYSIS, 2003, : 182 - 190
  • [23] Inference of a time-varying coefficient regression model for multivariate panel count data
    Guo, Yuanyuan
    Sun, Dayu
    Sun, Jianguo
    JOURNAL OF MULTIVARIATE ANALYSIS, 2022, 192
  • [24] Sieve Estimation of Time-Varying Panel Data Models With Latent Structures
    Su, Liangjun
    Wang, Xia
    Jin, Sainan
    JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2019, 37 (02) : 334 - 349
  • [25] GMM estimation of panel data models with time-varying slope coefficients
    Sato, Yoshihiro
    Soderbom, Mans
    APPLIED ECONOMICS LETTERS, 2017, 24 (21) : 1511 - 1518
  • [26] Estimation of spatial panel data models with time varying spatial weights matrices
    Wang, Wei
    Yu, Jihai
    ECONOMICS LETTERS, 2015, 128 : 95 - 99
  • [27] Nonparametric smoothing estimates of time-varying coefficient models with longitudinal data
    Hoover, DR
    Rice, JA
    Wu, CO
    Yang, LP
    BIOMETRIKA, 1998, 85 (04) : 809 - 822
  • [28] Wavelet estimation in time-varying coefficient models
    Xingcai Zhou
    Beibei Ni
    Chunhua Zhu
    Lithuanian Mathematical Journal, 2019, 59 : 276 - 293
  • [29] Specification tests for time-varying coefficient models
    Fu, Zhonghao
    Hong, Yongmiao
    Su, Liangjun
    Wang, Xia
    JOURNAL OF ECONOMETRICS, 2023, 235 (02) : 720 - 744
  • [30] Wavelet estimation in time-varying coefficient models
    Zhou, Xingcai
    Ni, Beibei
    Zhu, Chunhua
    LITHUANIAN MATHEMATICAL JOURNAL, 2019, 59 (02) : 276 - 293
12345