带固定效应空间自回归面板模型的参数估计及检验

Parameter Estimation and Test of Spatial Autoregressive Panel Model with Fixed Effect

研究带固定效应空间自回归面板模型的拟极大似然估计和检验问题.首先通过矩阵变换消除模型中的固定效应项,给出参数的拟极大似然估计,并且建立参数估计的渐近性质.此外,还基于矩阵变换,针对空间自回归系数λ构造LM检验统计量来检验是否显著不为0,推导出该统计量在零假设下的渐近分布.最后通过模拟研究结果证实参数估计及LM检验的有限样本性质,展示提出的估计和检验方法是可行有效的.

The quasi-maximum likelihood estimation and test of spatial autoregressive panel model with fixed effect were studied in this paper.Firstly,the fixed effect terms in the model were eliminated through matrix transformation.Then,the quasi maximum likelihood estimation of the parameters was given and the corresponding asymptotic properties were established.In addition,an LM test statistic was constructed for spatial autoregressive coefficientsλto test whether it was significantly not zero based on the matrix transformation.The asymptotic null distribution was also deduced.Finally,the finite sample properties of parameter estimation and LM test were confirmed through simulation research results,and the proposed estimation and test methods were demonstrated to be feasible and effective.