Partially Linear Spatial Probit Models

Mohamed-Salem Ahmed (1) , Sophie Dabo-Niang (2) , Michaël Genin (1) , Alaa Ali Hassan (3)

1 METRICS - Evaluation des technologies de santé et des pratiques médicales - ULR 2694
2 MODAL - MOdel for Data Analysis and Learning
3 LPP - Laboratoire Paul Painlevé - UMR 8524

A partially linear probit model for spatially dependent data is considered. A triangular array setting is used to cover various patterns of spatial data. Conditional spatial heteroscedasticity and non-identically distributed observations and a linear process for disturbances are assumed, allowing various spatial dependencies. The estimation procedure is a combination of a weighted likelihood and a generalized method of moments. The procedure first fixes the parametric components of the model and then estimates the non-parametric part using weighted likelihood; the obtained estimate is then used to construct a GMM parametric component estimate. The consistency and asymptotic distribution of the estimators are established under sufficient conditions. Some simulation experiments are provided to investigate the finite sample performance of the estimators.

Domaines: Méthodologie [stat.ME]

Mohamed-Salem Ahmed, Sophie Dabo-Niang, Michaël Genin, Alaa Ali Hassan. Partially Linear Spatial Probit Models. Annales de l'ISUP, 2019, 63 (2-3), pp.71-96. ⟨hal-03133818⟩