QML estimation of dynamic panel data models with spatial errors

DOI10.1016/J.JECONOM.2014.11.002zbMath1331.62486OpenAlexW1975213743MaRDI QIDQ2343773

Zhenlin Yang, Liangjun Su

Publication date: 6 May 2015

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1490

zbMATH Keywords

fixed effectsrandom effectsquasi maximum likelihooddynamic panelspatial error dependenceinitial observationsbootstrap standard errors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)

Related Items (31)

Kernel estimation of hazard functions when observations have dependent and common covariates ⋮ Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels ⋮ Empirical likelihood for spatial dynamic panel data models ⋮ Empirical likelihood for panel data models with spatial errors ⋮ Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration ⋮ Spatial dynamic panel data models with correlated random effects ⋮ First difference estimation of spatial dynamic panel data models with fixed effects ⋮ Markov chain Monte Carlo estimation of spatial dynamic panel models for large samples ⋮ Spatial-temporal Model with Heterogeneous Random Effects ⋮ Impact Analysis for Spatial Autoregressive Models: With Application to Air Pollution in China ⋮ Identifying latent group structures in spatial dynamic panels ⋮ Empirical likelihood for spatial dynamic panel data models with spatial lags and spatial errors ⋮ Imputed quantile tensor regression for near-sited spatial-temporal data ⋮ Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity ⋮ A space-time filter for panel data models containing random effects ⋮ Efficient GMM estimation of spatial dynamic panel data models with fixed effects ⋮ Estimation of fixed effects panel regression models with separable and nonseparable space-time filters ⋮ Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models ⋮ QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices ⋮ Spatial dynamic panel data models with interactive fixed effects ⋮ Identification and estimation of linear social interaction models ⋮ Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors ⋮ Bayesian local influence analysis of skew-normal spatial dynamic panel data models ⋮ On time-varying factor models: estimation and testing ⋮ Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator ⋮ Testing spatial dependence in spatial models with endogenous weights matrices ⋮ QML estimation of dynamic panel data models with spatial errors ⋮ Estimation of spatial sample selection models: a partial maximum likelihood approach ⋮ Unified M-estimation of matrix exponential spatial dynamic panel specification

Uses Software

• Arc_Mat

Cites Work

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