Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
含固定效应与时变系数的半参数空间自回归面板模型
This article considers a semiparametric spatial autoregressive (SAR) panel data model with fixed effects and time-varying coefficients. The time-varying coefficients are allowed to follow unknown functions of time, while the other parameters are assumed to be unknown constants. We propose a local linear quasi-maximum likelihood estimation method to obtain consistent estimators for the SAR coefficient, the variance of the error term, and the nonparametric time-varying…