Estimation of fixed effects partially linear varying coefficient spatial autoregressive model with disturbances correlated in space and time

In order to fully capture the substantive spatial effect, linear and varying coefficient effects of regressors, and space–time correlations of disturbances, this paper introduces a new fixed effects partially linear varying coefficient spatial autoregressive model (PLVCSARM) with disturbances correlated in space and time. Its profile quasi-maximum likelihood estimators (PQMLEs) are constructed. Under some mild conditions, the consistency and asymptotic normality of the PQMLEs are derived. Simulation results show that the proposed estimates perform well in finite sample cases.