Estimation of fixed effects panel regression models with separable and nonseparable space-time filters

DOI10.1016/J.JECONOM.2014.08.006zbMath1332.62331OpenAlexW2092180530MaRDI QIDQ473362

Lung-fei Lee, Jihai Yu

Publication date: 24 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.08.006

zbMATH Keywords

fixed effectspanel datatime effectsspatial autoregressionquasi-maximum likelihood estimationexact likelihood functionexplosive rootsspace-time filterspatial cointegration

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

Testing for heteroskedasticity in two-way fixed effects panel data models ⋮ Empirical likelihood for spatial dynamic panel data models ⋮ First difference estimation of spatial dynamic panel data models with fixed effects ⋮ Scalable semiparametric spatio-temporal regression for large data analysis ⋮ Heterogeneous panel data models with cross-sectional dependence ⋮ Spatial dynamic panel data models with interactive fixed effects ⋮ A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors ⋮ Fixed-effects dynamic spatial panel data models and impulse response analysis ⋮ Estimation of fixed effects semiparametric single-index panel model with spatio-temporal correlated errors ⋮ Unnamed Item

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