Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large

DOI10.1016/J.JECONOM.2008.08.002zbMATH Open1418.62549OpenAlexW2154883881MaRDI QIDQ295707FDOQ295707

Authors: Jihai Yu, Lung-fei Lee, Robert 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

Recommendations

• A spatial dynamic panel data model with both time and individual fixed effects
• Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large
• Estimation of unit root spatial dynamic panel data models

zbMATH Keywords

fixed effectsmaximum likelihood estimationquasi-maximum likelihood estimationspatial autoregressionbias correctiondynamic panels

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)

Cites Work

• Matrix Analysis
• Linear Regression Limit Theory for Nonstationary Panel Data
• Testing panel data regression models with spatial error correlation.
• 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
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Title not available (Why is that?)
• Biases in Dynamic Models with Fixed Effects
• Estimation of Dynamic Models with Error Components
• Estimation Methods for Models of Spatial Interaction
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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
• Jackknife and analytical bias reduction for nonlinear panel models.
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Identification in Parametric Models
• Consistent Estimates Based on Partially Consistent Observations
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications
• Another look at the instrumental variable estimation of error-components models
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Initial conditions and moment restrictions in dynamic panel data models
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Rao's score test in spatial econometrics
• The origin of spatial interaction
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• Title not available (Why is that?)

Cited In (88)

• Fixed effects spatial panel data models with time-varying spatial dependence
• Testing spatial dependence in spatial models with endogenous weights matrices
• Estimation of unit root spatial dynamic panel data models
• A spatial dynamic panel data model with both time and individual fixed effects
• Bias reduction for dynamic nonlinear panel models with fixed effects
• Grouped spatial autoregressive model
• Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
• Estimating flow data models of international trade: dual gravity and spatial interactions
• Banded spatio-temporal autoregressions
• Portal nodes screening for large scale social networks
• QML estimation of dynamic panel data models with spatial errors
• A note on spatial-temporal lattice modeling and maximum likelihood estimation
• Kernel estimation of hazard functions when observations have dependent and common covariates
• Moment-based tests for individual and time effects in panel data models
• Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
• The spatial time lag in panel data models
• Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients
• Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels
• Spatial dynamic panel data models with correlated random effects
• A space-time filter for panel data models containing random effects
• Spatial-temporal Model with Heterogeneous Random Effects
• Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
• Empirical likelihood for spatial dynamic panel data models
• Testing for sphericity in a two-way error components panel data model
• Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach
• Dynamic spatial panel data models with common shocks
• Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias
• Spillover dynamics for systemic risk measurement using spatial financial time series models
• Fixed-effects dynamic spatial panel data models and impulse response analysis
• Spatial dynamic models with intertemporal optimization: specification and estimation
• Panel data models with cross-sectional dependence: a selective review
• Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
• Estimation of partially specified spatial panel data models with fixed-effects
• Estimation of spatial autoregressive panel data models with fixed effects
• A spatial panel quantile model with unobserved heterogeneity
• The Hausman test in a Cliff and Ord panel model
• Limit theory for panel data models with cross sectional dependence and sequential exogeneity
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• First difference estimation of spatial dynamic panel data models with fixed effects
• Consistency without compactness of the parameter space in spatial econometrics
• On spatial processes and asymptotic inference under near-epoch dependence
• Large panels with common factors and spatial correlation
• Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator
• Inference and testing breaks in large dynamic panels with strong cross sectional dependence
• Identifying latent group structures in spatial dynamic panels
• Estimation and model selection in general spatial dynamic panel data models
• Empirical likelihood for panel data models with spatial errors
• Interpreting dynamic space-time panel data models
• Robust estimation and inference of spatial panel data models with fixed effects
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both \(N\) and \(T\) are large
• Sparse spatio-temporal autoregressions by profiling and bagging
• Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both \(N\) and \(T\) are large
• 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
• A case study on the shareholder network effect of stock market data: an SARMA approach
• Identification and estimation of linear social interaction models
• Recognition and variable selection in sparse spatial panel data models with fixed effects
• Inward and Outward Network Influence Analysis
• 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
• Parameter estimation and inference with spatial lags and cointegration
• Spatial dependence in small cooperative bank risk behavior and its effects on bank competitiveness and SMEs
• Common factors and spatial dependence: an application to US house prices
• Impact Analysis for Spatial Autoregressive Models: With Application to Air Pollution in China
• Unified M-estimation of matrix exponential spatial dynamic panel specification
• A structural-factor approach to modeling high-dimensional time series and space-time data
• Score-Driven Modeling of Spatio-Temporal Data
• Robust two-stage estimation in general spatial dynamic panel data models
• Scalable semiparametric spatio-temporal regression for large data analysis
• Imputed quantile tensor regression for near-sited spatial-temporal data
• Testing spatial dynamic panel data models with heterogeneous spatial and regression coefficients
• Specification Test for Spatial Autoregressive Models
• Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration
• Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity
• Estimation and variable selection for high-dimensional spatial dynamic panel data models
• Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
• Analysis of network interventions with an application to hospital-acquired infections
• Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model
• Shrinkage estimation of network spillovers with factor structured errors
• News-implied linkages and local dependency in the equity market
• Multivariate spatiotemporal models with low rank coefficient matrix
• Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
• Threshold spatial autoregressive model
• Varying-coefficient spatial dynamic panel data models with fixed effects: theory and application
• Markov chain Monte Carlo estimation of spatial dynamic panel models for large samples
• Spatial dynamic panel models with missing data
• Autoregressive Model With Spatial Dependence and Missing Data

This page was built for publication: Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q295707)