Empirical likelihood for spatial dynamic panel data models with spatial lags and spatial errors

Abstract

We study spatial dynamic panel data models with both spatial lags and spatial errors. The empirical likelihood (EL) ratio statistics are constructed for the parameters of the models. It is shown that the limiting distributions of the EL ratio statistics are chi-square distributions, which are used to construct confidence regions for the parameters of the models. A simulation study is conducted to compare the performances of the EL based and the normal approximation (NA) based confidence regions. Simulation results show that the EL can be computationally easier than the NA method to implement in practice.

Keywords:

• Spatial dynamic panel
• Spatial lag
• Spatial error
• Empirical likelihood
• Confidence region

AMS 2020 SUBJECT CLASSIFICATION::

• Primary 62G05
• secondary 62E20

Acknowledgments

The authors are thankful to the referees for constructive suggestions.

Additional information

Funding

This work was partially supported by the National Natural Science Foundation of China (12061017, 12161009) and the Innovation Project of Guangxi Graduate Education (YCSW2021073).