动态空间自回归固定效应面板模型的经验似然

Empirical Likelihood for Spatial Dynamic Autoregressive Panel model with Fixed Effects

针对动态空间自回归固定效应面板数据模型进行经验似然推断.为了规避伴生参数问题,先通过正交转换消除固定效应,构造剩余参数的经验似然比统计量,再以此得到固定效应的估计表达式;并在适当假设条件下证明了此经验似然比统计量的极限分布为卡方分布,各参数的经验似然估计的极限分布为正态分布.

This paper investigates empirical likelihood inference for spatial dynamic autoregressive panel data model with fixed effects.In order to avoid the incidental parameter problem,the empirical likelihood ratio statistics of the remaining parameters were constructed through the orthogonal transformation approach at first,and then the estimation expression of the fixed effect was obtained.It is proved that the limiting distribution of the empirical likelihood ratio statistic is chi-square distribution and the limiting distributions of the empirical likelihood estimations for all parameters are normal distributions under appropriate assumptions.