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

DOI10.1080/00949655.2017.1392522MaRDI QIDQ4960552zbMATH OpenOpenAlexFDO

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

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

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