Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
From MaRDI portal
Publication:295707
DOI10.1016/j.jeconom.2008.08.002zbMath1418.62549OpenAlexW2154883881MaRDI QIDQ295707
Lung-fei Lee, Jihai Yu, Robert M. de Jong
Publication date: 13 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.002
maximum likelihood estimationfixed effectsbias correctionspatial autoregressiondynamic panelsquasi-maximum likelihood estimation
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)
Related Items
Kernel estimation of hazard functions when observations have dependent and common covariates, Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients, Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels, Empirical likelihood for spatial dynamic panel data models, Spillover dynamics for systemic risk measurement using spatial financial time series models, Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach, Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias, Empirical likelihood for panel data models with spatial errors, Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration, Spatial dynamic panel data models with correlated random effects, First difference estimation of spatial dynamic panel data models with fixed effects, Scalable semiparametric spatio-temporal regression for large data analysis, Markov chain Monte Carlo estimation of spatial dynamic panel models for large samples, Spatial-temporal Model with Heterogeneous Random Effects, Impact Analysis for Spatial Autoregressive Models: With Application to Air Pollution in China, Spatial dynamic models with intertemporal optimization: specification and estimation, News-implied linkages and local dependency in the equity market, Identifying latent group structures in spatial dynamic panels, Estimating flow data models of international trade: dual gravity and spatial interactions, Recognition and variable selection in sparse spatial panel data models with fixed effects, Robust estimation and inference of spatial panel data models with fixed effects, Simultaneous Spatial Panel Data Models with Common Shocks, Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data, Score-Driven Modeling of Spatio-Temporal Data, Imputed quantile tensor regression for near-sited spatial-temporal data, Shrinkage estimation of network spillovers with factor structured errors, Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity, Estimation and variable selection for high-dimensional spatial dynamic panel data models, Fixed effects spatial panel data models with time-varying spatial dependence, Limit theory for panel data models with cross sectional dependence and sequential exogeneity, The spatial time lag in panel data models, A space-time filter for panel data models containing random effects, A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data, Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects, Efficient GMM estimation of spatial dynamic panel data models with fixed effects, Estimation of fixed effects panel regression models with separable and nonseparable space-time filters, A note on spatial-temporal lattice modeling and maximum likelihood estimation, Banded spatio-temporal autoregressions, Portal nodes screening for large scale social networks, Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models, Inference and testing breaks in large dynamic panels with strong cross sectional dependence, Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model, QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices, Spatial dynamic panel data models with interactive fixed effects, Spatial dynamic game models for coevolution of intertemporal economic decision-making and spatial networks, The Hausman test in a Cliff and Ord panel model, On spatial processes and asymptotic inference under near-epoch dependence, Large panels with common factors and spatial correlation, Identification and estimation of linear social interaction models, Estimation of spatial autoregressive panel data models with fixed effects, A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS, ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS, Interpreting dynamic space-time panel data models, Panel data models with cross-sectional dependence: a selective review, Moment-based tests for individual and time effects in panel data models, Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration, Dynamic spatial panel data models with common shocks, Fixed-effects dynamic spatial panel data models and impulse response analysis, Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator, Testing spatial dependence in spatial models with endogenous weights matrices, Consistency without compactness of the parameter space in spatial econometrics, BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS, A case study on the shareholder network effect of stock market data: an SARMA approach, Estimation and model selection in general spatial dynamic panel data models, THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE, Parameter estimation and inference with spatial lags and cointegration, Common factors and spatial dependence: an application to US house prices, Grouped spatial autoregressive model, QML estimation of dynamic panel data models with spatial errors, Testing for sphericity in a two-way error components panel data model, Estimation of partially specified spatial panel data models with fixed-effects, Sparse spatio-temporal autoregressions by profiling and bagging, A spatial panel quantile model with unobserved heterogeneity, Unified M-estimation of matrix exponential spatial dynamic panel specification
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Initial conditions and moment restrictions in dynamic panel data models
- Another look at the instrumental variable estimation of error-components models
- GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
- Testing for serial correlation, spatial autocorrelation and random effects using panel data
- Panel data models with spatially correlated error components
- The origin of spatial interaction
- The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
- Testing panel data regression models with spatial error correlation.
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Matrix Analysis
- Biases in Dynamic Models with Fixed Effects
- Estimation of Dynamic Models with Error Components
- Estimation Methods for Models of Spatial Interaction
- Dynamic panel estimation and homogeneity testing under cross section dependence
- Linear Regression Limit Theory for Nonstationary Panel Data
- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
- Identification in Parametric Models
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- Consistent Estimates Based on Partially Consistent Observations
- Rao's score test in spatial econometrics
- On the asymptotic distribution of the Moran \(I\) test stastistic with applications