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学术科研

Probability & Statistics Seminar

GMM Estimation of Partially Linear Single-index Spatial Autoregressive Model

演讲者：陈建宝（福建师范大学）
时间：2019-05-05 16:00-17:00
地点：慧园3栋 518报告厅

Abstract

This paper studies the generalized method of moment (GMM) estimation of partially linear single-index spatial autoregressive model (PLSISARM). The asymptotic normality of the estimators for unknown parameters and link function is derived under some regular conditions. Monte Carlo simulations indicate our estimators perform well in finite samples. Meanwhile, the proposed method is used to illustrate the Boston housing data.

(It is a joint work with Suli Chen & Xuan Liu)