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Bias Correction for Fixed Effects Spatial Panel Data Models
Bootstrap Spatial Panel Individual Fixed Effects Time Fixed Effects
2016/1/26
This paper examines the finite sample properties of the quasi maximum likelihood (QML) esti-mators of the fixed effects spatial panel data (FE-SPD) models of Lee and Yu (2010). Following the general b...
Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects Generalized method of moment
2016/1/26
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Estimation of Spatial Panel Data Models with Time Varying Spatial Weights Matrices
Spatial autoregression Panel data Time varying spatial weights matrices Fixed e¤ects Maximum likelihood Impact analysis
2016/1/26
This paper investigates the quasi-maximum likelihood (QML) estimation of spatial panel data models where spatial weights matrices can be time varying. We show that QML estimate is consistent and asymp...
Bias Correction for Fixed Effects Spatial Panel Data Models
Bootstrap Spatial Panel Individual Fixed Effects Time Fixed Effects
2016/1/20
This paper examines the finite sample properties of the quasi maximum likelihood (QML) esti-mators of the fixed effects spatial panel data (FE-SPD) models of Lee and Yu (2010). Following the general b...
Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects
2016/1/20
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
Dynamic panels Fixed e¤ects Quasi-maximum likelihood estima- tion Bias correction Generalized method of moments Spatial cointegration
2016/1/19
Yu, de Jong and Lee (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with …xed e¤ects when both the number of individuals n and th...
Effcient GMM estimation of spatial dynamic panel data models with fixed effects
Spatial autoregression Dynamic panels Fixed e¤ects Generalized method of moment Many moments
2016/1/19
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with …xed e¤ects when n is large, and T can be large, but small relative to n. The GMM esti...