Statistical inference of partially linear time-varying coefficients spatial autoregressive panel data model
部分线性时变系数空间自回归面板模型的统计推断
This paper investigates a partially linear spatial autoregressive panel data model that incorporates fixed effects, constant and time-varying regression coefficients, and a time-varying spatial lag coefficient. A two-stage least squares estimation method based on profile local linear dummy variables (2SLS-PLLDV) is proposed to estimate both constant and time-varying coefficients without the need for first differencing. The asymptotic properties of the estimator are derived…