A SEMIPARAMETRIC SPATIAL DYNAMIC MODEL
成果类型：
Article
署名作者：
Sun, Yan; Yan, Hongjia; Zhang, Wenyang; Lu, Zudi
署名单位：
Shanghai University of Finance & Economics; University of York - UK; University of Southampton
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
DOI：
10.1214/13-AOS1201
发表日期：
2014
页码：
700-727
关键词：
摘要：
Stimulated by the Boston house price data, in this paper, we propose a semiparametric spatial dynamic model, which extends the ordinary spatial autoregressive models to accommodate the effects of some covariates associated with the house price. A profile likelihood based estimation procedure is proposed. The asymptotic normality of the proposed estimators are derived. We also investigate how to identify the parametric/nonparametric components in the proposed semiparametric model. We show how many unknown parameters an unknown bivariate function amounts to, and propose an AIC/BIC of nonparametric version for model selection. Simulation studies are conducted to examine the performance of the proposed methods. The simulation results show our methods work very well. We finally apply the proposed methods to analyze the Boston house price data, which leads to some interesting findings.