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

DOI10.1016/j.jeconom.2008.08.002zbMath1418.62549OpenAlexW2154883881MaRDI 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

zbMATH Keywords

maximum likelihood estimationfixed effectsbias correctionspatial autoregressiondynamic panelsquasi-maximum likelihood estimation

Mathematics Subject Classification ID

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)

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