一类空间面板数据模型的经验似然推断

doi:10.16088/j.issn.1001-6600.2021060918

Abstract

Abstract: The empirical likelihood inference for a time-varying coefficient spatial panel data model with spatial autocorrelation and spatial error autocorrelation is investigated in this paper. By transferring the quadratic form of the estimation equation into a linear form of a martingale difference sequence, the empirical likelihood ratio statistic of the model parameters is constructed. It is shown that the limit distribution of the statistic is chi-square distribution under certain conditions.

Key words: spatial panel data model, time varying coefficient, martingale difference sequence, empirical likelihood, asymptotic property

CLC Number:

O212.7

ZENG Qingfan, QIN Yongsong, LI Yufang. Empirical Likelihood Inference for a Class of Spatial Panel Data Models[J].Journal of Guangxi Normal University(Natural Science Edition), 2022, 40(1): 30-42.

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Empirical Likelihood Inference for a Class of Spatial Panel Data Models

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