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In many application fields of regression analysis, prior information about how explanatory variables affect response variable of interest is often available and can be formulated as constraints on regression coefficients. In this paper, the authors consider statistical inference of partially linear spatial autoregressive model under constraint conditions. By combining series approximation method, two-stage least squares method and Lagrange multiplier method, the authors obtain constrained estimators of the parameters and function in the partially linear spatial autoregressive model and investigate their asymptotic properties. Furthermore, the authors propose a testing method to check whether the parameters in the parametric component of the partially linear spatial autoregressive model satisfy linear constraint conditions, and derive asymptotic distributions of the resulting test statistic under both null and alternative hypotheses. Simulation results show that the proposed constrained estimators have better finite sample performance than the unconstrained estimators and the proposed testing method performs well in finite samples. Furthermore, a real example is provided to illustrate the application of the proposed estimation and testing methods.

The varying coefficient model provides a useful tool for statistical modeling. In this paper, we propose a new procedure for more efficient estimation of its coefficient functions when its errors are serially correlated and modeled as an autoregressive (AR) process. We establish the asymptotic distribution of the proposed estimator and show that it is more efficient than the conventional local linear estimator. Furthermore, we suggest a penalized profile least squares method with the smoothly clipped absolute deviation (SCAD) penalty function to select the order of the AR error process. Simulation evidence shows that significant gains can be achieved in finite samples with the proposed estimation procedure. Moreover, a real data example is given to illustrate the usefulness of the proposed estimation procedure. [ABSTRACT FROM AUTHOR]