A0712
Title: Time-varying coefficient spatial autoregressive panel data model with fixed effects
Authors: Xuan Liang - The Australian National University (Australia) [presenting]
Abstract: A time-varying coefficient spatial autoregressive panel data model with the individual fixed effects is developed in order to capture the nonlinear effects of the regressors, which varies over time. To effectively estimate the model, we propose a method cooperating the nonparametric local linear method and the concentrated quasi-maximum likelihood estimation method to obtain the consistent estimators for the spatial coefficient and the time-varying coefficient functions. The asymptotic properties of these estimators are derived as well, showing the regular $\sqrt{NT}$-rate of convergence for the parametric parameters and the common $\sqrt{NTh}$-rate of convergence for the nonparametric component. Monte Carlo simulations are conducted to illustrate the finite sample performances of our proposed method. Meanwhile, we apply our method to study Chinese labor productivity to identify the spatial influences and the time-varying spillover effects among 185 Chinese cities.
