A Semi‐parametric Panel Data Model with Common Factors and Spatial Dependence
提出一个半参数部分线性模型，同时处理斜率异质性、共同因子和空间溢出导致的截面依赖以及非线性效应，并给出估计量的渐近性质和小样本蒙特卡洛模拟结果。
Abstact In the analysis of the Griliches' knowledge capital production function, previous works pointed out the relevance of incorporating slope heterogeneity in the technological parameters, cross‐sectional dependence arising simultaneously from common factors and spillovers, and possible nonlinear effects of relevant common observed variables. In order to solve the above problems, in this article we introduce a semi‐parametric model in a partially linear form that copes simultaneously with all the previous specification issues. The asymptotic properties of the resulting estimators are obtained and the theoretical findings are further supported for small samples via several Monte Carlo experiments and an empirical application.