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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
- The origin of spatial interaction
- Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
- Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models
- Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
- Statistical analysis of cointegration vectors
- Impulse response analysis in nonlinear multivariate models
- Exploiting cross-section variation for unit root inference in dynamic data
- Inferring the rank of a matrix
- Estimation of simultaneous systems of spatially interrelated cross sectional equations.
- Unit root tests in panel data: asymptotic and finite-sample properties
- Fixed-effects dynamic spatial panel data models and impulse response analysis
- QML estimation of dynamic panel data models with spatial errors
- Likelihood‐based cointegration tests in heterogeneous panels
- Estimating Panel Models With Internal and External Habit Formation
- RANDOM EFFECTS AND SPATIAL AUTOCORRELATION WITH EQUAL WEIGHTS
- Estimation Methods for Models of Spatial Interaction
- TESTS OF RANK
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS
- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
- Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration