ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS

DOI10.1017/S0266466609990600zbMath1197.62159OpenAlexW2092503608MaRDI QIDQ4933582

Lung-fei Lee, Jihai Yu

Publication date: 14 October 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990600

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (16)

Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels ⋮ Empirical likelihood for spatial dynamic panel data models ⋮ 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 ⋮ Impact Analysis for Spatial Autoregressive Models: With Application to Air Pollution in China ⋮ Network Functional Varying Coefficient Model ⋮ Simultaneous Spatial Panel Data Models with Common Shocks ⋮ Estimation and variable selection for high-dimensional spatial dynamic panel data models ⋮ Efficient GMM estimation of spatial dynamic panel data models with fixed effects ⋮ QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices ⋮ Large panels with common factors and spatial correlation ⋮ Estimation of spatial autoregressive panel data models with fixed effects ⋮ Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration ⋮ QML estimation of dynamic panel data models with spatial errors ⋮ Unified M-estimation of matrix exponential spatial dynamic panel specification

Cites Work

• 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
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Formulation and estimation of dynamic models using panel data
• Testing panel data regression models with spatial error correlation.
• Testing for a unit root in panels with dynamic factors
• Linear Regression Limit Theory for Nonstationary Panel Data
• 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
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

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