Fixed-effects dynamic spatial panel data models and impulse response analysis
DOI10.1016/J.JECONOM.2017.02.001zbMATH Open1456.62207OpenAlexW2589648126MaRDI QIDQ2294515FDOQ2294515
Publication date: 11 February 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.02.001
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model selectionconfidence intervalspanel data modelsquasi maximum likelihood estimationimpulse response analysisdynamic spatial models
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics to economics (62P20)
Cites Work
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- Testing for serial correlation, spatial autocorrelation and random effects using panel data
- Panel data models with spatially correlated error components
- Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
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- Biases in Dynamic Models with Fixed Effects
- Estimation of Dynamic Models with Error Components
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- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
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- Consistent Estimates Based on Partially Consistent Observations
- Estimation of spatial autoregressive panel data models with fixed effects
- Shrinkage tuning parameter selection with a diverging number of parameters
- Adaptive Lasso for sparse high-dimensional regression models
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- Asymptotic Properties of Non-Linear Least Squares Estimators
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- Initial conditions and moment restrictions in dynamic panel data models
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- Theory and methods of panel data models with interactive effects
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- On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
- Efficient GMM estimation of spatial dynamic panel data models with fixed effects
- High-dimensional covariance matrix estimation in approximate factor models
- Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
- Fixed-effects dynamic panel models, a factor analytical method
- Inference on higher-order spatial autoregressive models with increasingly many parameters
Cited In (12)
- Fixed effects spatial panel data models with time-varying spatial dependence
- Grouped spatial autoregressive model
- Efficient closed-form estimation of large spatial autoregressions
- Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration
- Estimation and variable selection for high-dimensional spatial dynamic panel data models
- Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
- Dynamic spatial panel data models with common shocks
- Panel threshold spatial Durbin models with individual fixed effects
- A spatial panel quantile model with unobserved heterogeneity
- Threshold spatial autoregressive model
- Varying-coefficient spatial dynamic panel data models with fixed effects: theory and application
- Spatial dynamic panel models with missing data
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