一类空间面板数据模型的经验似然推断

Empirical Likelihood Inference for a Class of Spatial Panel Data Models

本文研究含空间自回归和空间误差自回归的时变系数空间面板数据模型的经验似然推断。利用鞅差序列将估计方程中的二次型转化为线性形式,构造模型参数的经验似然比统计量,并在一定条件下证明统计量的极限分布为卡方分布。

The empirical likelihood inference for a time-varying coefficient spatial panel data model with spatial autocorrelation and spatial error autocorrelation is investigated in this paper.By transferring the quadratic form of the estimation equation into a linear form of a martingale difference sequence,the empirical likelihood ratio statistic of the model parameters is constructed.It is shown that the limit distribution of the statistic is chi-square distribution under certain conditions.