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Robust Two-Stage Estimation in General Spatial Dynamic Panel Data Models

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Ding Hao 1 *   Jin Baisuo 2   Wu Yuehua 1  
文摘 This paper proposes a robust two-stage estimation procedure for a general spatial dynamic panel data model in light of the two-stage estimation procedure in Jin,et al.(2020).The authors replace the least squares estimation in the first stage of Jin,et al.(2020) by M-estimation.The authors also provide the justification for not making any change in its second stage when the number of time periods is large enough.The proposed methodology is robust and efficient,and it can be easily implemented.In addition,the authors study the limiting behavior of the parameter estimators,which are shown to be consistent and asymptotic normally distributed under some conditions.Extensive simulation studies are carried out to assess the proposed procedure and a COVID-19 data example is conducted for illustration.
来源 Journal of Systems Science and Complexity ,2023,36(6):2580-2604 【核心库】
DOI 10.1007/s11424-023-2172-2
关键词 Asymptotic normality ; consistency ; M-estimation ; model selection ; outliers
地址

1. Department of Mathematics and Statistics,York University, Canada, Toronto, M3J 1P3  

2. Department of Statistics and Finance,School of Management,University of Science and Technology of China, Hefei, 230026

语种 英文
文献类型 研究性论文
ISSN 1009-6124
学科 数学
基金 supported by the Natural Sciences and Engineering Research Council of Canada ;  国家自然科学基金 ;  the Anhui Provincial Natural Science Foundation
文献收藏号 CSCD:7659088

参考文献 共 26 共2页

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