First difference estimation of spatial dynamic panel data models with fixed effects

DOI10.1016/J.ECONLET.2020.109010MaRDI QIDQ2179762zbMATH OpenOpenAlexFDO

Authors Fei Jin, Lung-fei Lee, Jihai Yu

Publication date 13 May 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2020.109010

zbMATH Keywords

bias correctiondynamic panelsfirst differencefixed effectsquasi-maximum likelihood estimationspatial autoregression

Mathematics Subject Classification ID

Causal inference from observational studies (62D20) Directional data; spatial statistics (62H11) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A spatial dynamic panel data model with both time and individual fixed effects
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Estimating panel models with internal and external habit formation
• Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
• Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
• Estimation of unit root spatial dynamic panel data models
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Panel data models with spatially correlated error components
• QML estimation of dynamic panel data models with spatial errors
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large
• Testing for serial correlation, spatial autocorrelation and random effects using panel data
• Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels

Cited in

(5)

• Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels
• Spatial dynamic models with intertemporal optimization: specification and estimation
• Estimation and model selection in general spatial dynamic panel data models
• First difference transformation in panel VAR models: robustness, estimation, and inference
• Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration

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