Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration
DOI10.1016/j.jeconom.2020.05.010zbMath1471.62547OpenAlexW3048065788MaRDI QIDQ2658749
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
identificationquasi-maximum likelihooddynamic panelspatial cointegrationmarket integrationspatial vector autoregression
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Uses Software
Cites Work
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