带固定效应空间误差面板数据模型的经验似然推断

EMPIRICAL LIKELIHOOD INFERENCE FOR PANEL DATA MODELS WITH SPATIAL ERRORS AND FIXED EFFECTS

本文研究了带有固定效应的空间误差面板数据模型的经验似然推断问题.利用经验似然方法,通过鞅差序列将空间误差面板数据模型估计方程中的二次型转化为线性形式,构造了空间误差面板数据模型参数的经验似然比统计量,得到了统计量的极限分布.

This article investigates the empirical likelihood inference for panel data models with spatial errors and fixed effects.Via empirical likelihood methods and by means of a martingale difference array,we transform linear-quadratic forms of the estimating equation of panel data models with spatial errors into linear forms,construct the empirical likelihood ratio statistics for the models,and obtain the limiting distributions of the statistics.