PANEL DATA PARTIALLY LINEAR VARYING-COEFFICIENT MODEL WITH ERRORS CORRELATED IN SPACE AND TIME

doi:10.5705/ss.2013.190w

CORC > 上海财经大学 > 上海财经大学

	PANEL DATA PARTIALLY LINEAR VARYING-COEFFICIENT MODEL WITH ERRORS CORRELATED IN SPACE AND TIME
	Bai, Yang 1,2; Hu, Jianhua 1,2; You, Jinhong 1,2
刊名	STATISTICA SINICA
	2015-01
卷号	25 期号:1 页码:275-294
关键词	Asymptotic normality panel data partially linear varying coefficient model spatial time-wise correlation
ISSN号	1017-0405
DOI	10.5705/ss.2013.190w
英文摘要	In this paper, we consider a panel data varying-coefficient partially linear model errors correlated in space and time. A serially correlated error structure is adopted for the correlation in time, and we propose an estimating procedure for the autoregressive coefficients in our set-up by combining a polynomial spline series approximation with least squares. The resulted estimators are shown to enjoy asymptotic properties. We construct a weighted semiparametric least squares estimator (WSLSE) and a weighted polynomial spline series estimator (WPSSE) for the parametric and nonparametric components of the mean model, respectively. The WSLSE is shown to be asymptotically normal and more efficient than the unweighted one, and the WPSSE is shown to achieve the optimal nonparametric convergence rate. Some simulation studies are reported to illustrate the finite sample performance of the proposed procedure. An application to Indonesian rice farming data is given.
WOS研究方向	Mathematics
语种	英语
出版者	STATISTICA SINICA
WOS记录号	WOS:000348969700017
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2858]
专题	上海财经大学
通讯作者	Bai, Yang
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 2.Minist Educ, Key Lab Math Econ SUFE, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Bai, Yang,Hu, Jianhua,You, Jinhong. PANEL DATA PARTIALLY LINEAR VARYING-COEFFICIENT MODEL WITH ERRORS CORRELATED IN SPACE AND TIME[J]. STATISTICA SINICA,2015,25(1):275-294.
APA	Bai, Yang,Hu, Jianhua,&You, Jinhong.(2015).PANEL DATA PARTIALLY LINEAR VARYING-COEFFICIENT MODEL WITH ERRORS CORRELATED IN SPACE AND TIME.STATISTICA SINICA,25(1),275-294.
MLA	Bai, Yang,et al."PANEL DATA PARTIALLY LINEAR VARYING-COEFFICIENT MODEL WITH ERRORS CORRELATED IN SPACE AND TIME".STATISTICA SINICA 25.1(2015):275-294.