Markov chain Monte Carlo estimation of spatial dynamic panel models for large samples

DOI10.1016/J.CSDA.2019.04.003MaRDI QIDQ2419151zbMATH OpenOpenAlexWikidataFDO

Authors Yao-Yu Chih, Colin Vance, James P. Lesage

Publication date 29 May 2019

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/191060

zbMATH Keywords

dynamic panelslog-marginal likelihoodspatialtime dependence

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from spatial processes (62M30) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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• Composite marginal likelihood estimation of spatial autoregressive probit models feasible in very large samples

Cites work

• A space-time filter for panel data models containing random effects
• Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• Interpreting dynamic space-time panel data models
• Introduction to spatial econometrics.
• Monte Carlo estimates of the log determinant of large sparse matrices
• 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

Cited in

(4)

• LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS
• A primer on space-time modeling from a Bayesian perspective
• Performance contest between MLE and GMM for huge spatial autoregressive models
• Marginally parameterized spatio-temporal models and stepwise maximum likelihood estimation

Describes a project that uses

Uses Software

• Arc_Mat

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