Abhimanyu Gupta, Xi Qu, Sorawoot Srisuma, Jiajun Zhang
arXiv 5 Feb 2025 · Econometrics
arXiv:2502.03084 · PDF · DOI · OpenAlex · Extracted main text
We present simple to implement Wald-type statistics that deliver a general nonparametric inference theory for linear restrictions on varying coefficients in a range of regression models allowing for cross-sectional or spatial dependence. We provide a general central limit theorem that covers a broad range of error spatial dependence structures, allows for a degree of misspecification robustness via nonparametric spatial weights and permits inference on both varying regression and spatial dependence parameters. Using our method, we first uncover evidence of constant returns to scale in the Chinese nonmetal mineral industry's production function, and then show that Boston house prices respond nonlinearly to proximity to employment centers. A simulation study confirms that our tests perform very well in finite samples.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Malikov, E. and Y. Sun (2017) Semiparametric estimation and testing of smooth coefficient spatial autoregressive models | 1.000 | 6 | 3 | 100% |
| 2 | Kelejian, H. H. and I. R. Prucha (2007) HAC estimation in a spatial framework | 0.899 | 11 | 5 | 73% |
| 3 | Sun, Y., H. Yan, W. Zhang, and Z. Lu (2014) A semiparametric spatial dynamic model | 0.874 | 7 | 2 | 100% |
| 4 | Li, Q., C. J. Huang, D. Li, and T.-T. Fu (2002) Semiparametric smooth coefficient models | 0.874 | 7 | 2 | 100% |
| 5 | Gupta, A (2018) Nonparametric specification testing via the trinity of tests self | 0.811 | 4 | 2 | 100% |
| 6 | Pinkse, J., M. E. Slade, and C. Brett (2002) Spatial price competition: A semiparametric approach | 0.811 | 4 | 2 | 100% |
| 7 | Hong, Y. and H. White (1995) Consistent specification testing via nonparametric series regression | 0.644 | 2 | 2 | 100% |
| 8 | Robinson, P. M. and S. Thawornkaiwong (2012) Statistical inference on regression with spatial dependence | 0.644 | 2 | 2 | 100% |
| 9 | Sun, Y (2016) Functional-coefficient spatial autoregressive models with nonparametric spatial weights | 0.644 | 2 | 2 | 100% |
| 10 | Sun, Y. and E. Malikov (2018) Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 49 scored citations.