Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration

DOI10.1016/j.jeconom.2011.05.014zbMath1441.62908OpenAlexW1987634618MaRDI QIDQ738131

Lung-fei Lee, Jihai Yu, Robert M. de Jong

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.05.014

zbMATH Keywords

generalized method of momentsfixed effectsunit rootbias correctionspatial autoregressiondynamic panelsquasi-maximum likelihood estimationspatial cointegration

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)

Related Items (17)

Estimation of semiparametric varying-coefficient spatial autoregressive models with missing in the dependent variable ⋮ Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients ⋮ Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration ⋮ First difference estimation of spatial dynamic panel data models with fixed effects ⋮ Markov chain Monte Carlo estimation of spatial dynamic panel models for large samples ⋮ Impact Analysis for Spatial Autoregressive Models: With Application to Air Pollution in China ⋮ Identifying latent group structures in spatial dynamic panels ⋮ Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data ⋮ Estimation and variable selection for high-dimensional spatial dynamic panel data models ⋮ Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects ⋮ 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 ⋮ Estimation of fixed effects panel regression models with separable and nonseparable space-time filters ⋮ Banded spatio-temporal autoregressions ⋮ QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices ⋮ Estimation of spatial autoregressive models with covariate measurement errors ⋮ Sparse spatio-temporal autoregressions by profiling and bagging

Cites Work

• Estimation of spatial autoregressive panel data models with fixed effects
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Panel data models with spatially correlated error components
• Estimating models of complex FDI: are there third-country effects?
• The origin of spatial interaction
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Testing panel data regression models with spatial error correlation.
• Inference in Linear Time Series Models with some Unit Roots
• Matrix Analysis
• Estimation Methods for Models of Spatial Interaction
• Specification Tests in Econometrics
• Fully Modified Least Squares and Vector Autoregression
• ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration