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

DOI10.1016/j.csda.2019.04.003OpenAlexW2939035593WikidataQ128058199 ScholiaQ128058199MaRDI QIDQ2419151

Colin Vance, Yao-Yu Chih, 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

spatialtime dependencedynamic panelslog-marginal likelihood

Mathematics Subject Classification ID

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

Uses Software

• Arc_Mat

Cites Work

• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• A space-time filter for panel data models containing random effects
• Interpreting dynamic space-time panel data models
• Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
• Monte Carlo estimates of the log determinant of large sparse matrices
• QML estimation of dynamic panel data models with spatial errors
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