This paper first constructs generalized method of moments for partially linear single-index spatial error model. Furthermore, a generalized F-test to check whether or not covariates have nonlinearity is proposed. We derive the asymptotic properties of the proposed estimators and asymptotic distribution of the generalized F-test. Monte Carlo study shows that all estimators exhibit satisfying finite sample performance. Analysis of Chinese house price data is presented for illustration.
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Funding
Social Science Foundation of Chongqing, People’s Republic of China(2021BS049)
Science and Technology Research Program of Chongqing Municipal Education Commission, People’s Republic of China(KJQN202100801)
Scientific Research Foundation of Chongqing Technology and Business University, People’s Republic of China(2056015)
Natural Science Foundation of Fujian Province, People’s Republic of China(2020J01170)
National Social Science Fund of China(22BTJ024)
Science and Technology Research Program of Chongqing Municipal Education Commission, People’s Republic of China(KJQN202100804)
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School of Mathematical Sciences, University of Science and Technology of China and Springer-Verlag GmbH Germany, part of Springer Nature
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