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April 2014 A semiparametric spatial dynamic model
Yan Sun, Hongjia Yan, Wenyang Zhang, Zudi Lu
Ann. Statist. 42(2): 700-727 (April 2014). DOI: 10.1214/13-AOS1201


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.


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Yan Sun. Hongjia Yan. Wenyang Zhang. Zudi Lu. "A semiparametric spatial dynamic model." Ann. Statist. 42 (2) 700 - 727, April 2014.


Published: April 2014
First available in Project Euclid: 20 May 2014

zbMATH: 1297.62093
MathSciNet: MR3210984
Digital Object Identifier: 10.1214/13-AOS1201

Primary: 62G08
Secondary: 62G05 , 62G20

Keywords: AIC/BIC , local linear modeling , profile likelihood , spatial interaction

Rights: Copyright © 2014 Institute of Mathematical Statistics


Vol.42 • No. 2 • April 2014
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