Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration

DOI10.1016/J.JECONOM.2020.05.010MaRDI QIDQ2658749zbMATH OpenOpenAlexFDO

Authors Kai Yang, Lung-fei Lee

Publication date 24 March 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.05.010

zbMATH Keywords

dynamic panelidentificationmarket integrationquasi-maximum likelihoodspatial cointegrationspatial vector autoregression

Mathematics Subject Classification ID

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)

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Cites work

• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimating panel models with internal and external habit formation
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
• Estimation Methods for Models of Spatial Interaction
• Estimation of simultaneous systems of spatially interrelated cross sectional equations.
• Estimation of unit root spatial dynamic panel data models
• Exploiting cross-section variation for unit root inference in dynamic data
• Fixed-effects dynamic spatial panel data models and impulse response analysis
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
• Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models
• Impulse response analysis in nonlinear multivariate models
• Inferring the rank of a matrix
• Introduction to spatial econometrics.
• Likelihood-based cointegration tests in heterogeneous panels
• 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
• RANDOM EFFECTS AND SPATIAL AUTOCORRELATION WITH EQUAL WEIGHTS
• Statistical analysis of cointegration vectors
• TESTS OF RANK
• The origin of spatial interaction
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(4)

• Parameter estimation and inference with spatial lags and cointegration
• Multivariate spatiotemporal models with low rank coefficient matrix
• Nonlinear Spatial Dynamic Panel Data Models with Endogenous Dominant Units: An Application to Share Data
• Bilateral matrix spatiotemporal autoregressive model

Describes a project that uses

Uses Software

• TRAMO
• Arc_Mat

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