| 李坤明,陈建宝.半参数变系数空间滞后模型的截面极大似然估计[J].数量经济技术经济研究,2013,30(4):85-98 |
| 半参数变系数空间滞后模型的截面极大似然估计 |
| Profile Maximum Likelihood Estimation of Semi-parametric Varying |
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| DOI： |
| 中文关键词: 半参数模型 空间滞后模型 截面极大似然估计 局部线性估计 |
| 英文关键词: Semi-parametric model Spatial lag model Profile maximum likelihood estimation Local linear estimation |
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| 中文摘要: |
| 在线性参数空间滞后模型中，解释变量的系数一般假设为固定常数，本文首先放松了这种假设，将解释变量的系数设定为某一变量的未知函数，提出一类全新的半参数变系数空间滞后模型；其次导出了该模型的截面极大似然估计，并证明了该估计的一致性；最后用蒙特卡洛数值模拟方法考察了该估计在小样本条件下的性质，数值模拟结果显示我们提出的估计方法在小样本条件下依然有优良的表现。 |
| 英文摘要: |
| The coefficients of explanatory variables are always assumed to be fixed constants in linear spatial lag model, this paper first relaxs that assumption， set the coefficients to be unknown functions of some variables, and proposes a new class of semi-parametric varying coefficient spatial lag model；secondly, we construct the profile maximum likelihood estimation of the model and prove the consistency of the estimation. Finally, Monte Carlo simulation is used to exam the property of the estimation in small sample conditions. The results of numerical simulation show that the estimation method still has excellent performance with small sample. |
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