In this paper, we develop a multi-step estimation procedure to simultaneously estimate the varying-coefficient functions using a local-linear generalized method of moments (GMM) based on continuous moment conditions. To incorporate spatial dependence, the continuous moment conditions are first projected onto eigen-functions and then combined by weighted eigen-values, thereby, solving the challenges of using an inverse covariance operator directly. We propose an optimal instrument variable that minimizes the asymptotic variance function among the class of all local-linear GMM estimators, and it outperforms the initial estimates which do not incorporate the spatial dependence. Our proposed method significantly improves the accuracy of the estimation under heteroskedasticity and its asymptotic properties have been investigated. Extensive simulation studies illustrate the finite sample performance, and the efficacy of the proposed method is confirmed by real data analysis.
翻译:在本文中,我们开发了一个多步骤估计程序,以便同时使用基于连续时刻条件的局部直线通用时间(GMM)方法估计不同系数功能。为了纳入空间依赖性,先将连续时刻条件投射到eigen功能上,然后用加权的eigen值组合在一起,从而解决直接使用反共变操作器的挑战。我们提出了一个最佳工具变量,将所有局部直线GMM测算器类别中的无症状差异功能降到最低,并超过不包含空间依赖性的初步估计值。我们提出的方法大大提高了在高临界度及其无症状特性下估算的准确性。我们提出的方法已经进行了调查,广泛的模拟研究说明了有限的样本性能,而拟议方法的有效性得到了真实数据分析的证实。