Maximum likelihood estimation of spatially and serially correlated panels with random effects
DOI10.1016/J.CSDA.2013.07.024zbMATH Open1471.62140OpenAlexW2008051619MaRDI QIDQ1621373FDOQ1621373
Authors: Giovanni Millo 
Publication date: 8 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2013.07.024
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Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics to economics (62P20) Software, source code, etc. for problems pertaining to statistics (62-04)
Cites Work
- Introduction to spatial econometrics.
- maxLik: a package for maximum likelihood estimation in R
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- Testing for serial correlation, spatial autocorrelation and random effects using panel data
- Panel data models with spatially correlated error components
- Estimating models of complex FDI: are there third-country effects?
- Econometric analysis of cross section and panel data.
- Large panels with common factors and spatial correlation
- Estimation of spatial autoregressive panel data models with fixed effects
- A spatial dynamic panel data model with both time and individual fixed effects
- Specification Tests in Econometrics
- On the Pooling of Time Series and Cross Section Data
- A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
- Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix
- A generalized spatial panel data model with random effects
- The econometrics of panel data. Fundamental and recent developments in theory and practice.
- Forecasting with spatial panel data
- Serial and spatial error correlation
- Spatial panels: random components versus fixed effects
- Chebyshev approximation of log-determinants of spatial weight matrices
- Testing for random effects and spatial lag dependence in panel data models
- The Hausman test in a Cliff and Ord panel model
Cited In (4)
- Special issue on statistical algorithms and software in R
- The asymptotic distribution of robust maximum likelihood estimator with Huber function for the mixed spatial autoregressive model with outliers
- Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias
- Refinements in maximum likelihood inference on spatial autocorrelation in panel data
Uses Software
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