A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors

DOI10.1080/00949655.2017.1392522OpenAlexW2765669130MaRDI QIDQ4960552FDOQ4960552

Authors: Yu Bai, Shaofu Zhou, Zhaoyuan Fan 

Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2017.1392522

zbMATH Keywords

quasi-maximum likelihood estimationspatial errorsMonte Carlo studiesgeneralized spatial system GMM estimationshort dynamic panel data models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Generalized linear models (logistic models) (62J12)

Cites Work

• QML estimation of dynamic panel data models with spatial errors
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
• Initial conditions and moment restrictions in dynamic panel data models
• Panel Data Econometrics
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
• Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels
• Neighbourhood GMM estimation of dynamic panel data models

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