Empirical likelihood for panel data models with spatial errors

Abstract

For panel data models with spatial errors, the empirical likelihood ratio statistics are constructed for the parameters of the models. It is shown that the limiting distributions of the empirical likelihood ratio statistics are chi-squared distributions, which are used to construct confidence regions for the parameters of the models. A simulation study is conducted to show the performance of the proposed method.

Keywords:

• Panel data
• spatial error
• empirical likelihood
• confidence region

AMS 2010 SUBJECT CLASSIFICATION:

• Primary 62G05; secondary 62E20

Additional information

Funding

This work was partially supported by the National Natural Science Foundation of China (11671102, 11731015, 61662007), the Natural Science Foundation of Guangxi (2016GXNSFAA3800163, 2017GXNSFAA198349), and the Program on the High Level Innovation Team and Outstanding Scholars in Universities of Guangxi Province.