Estimation of spatial autoregressive panel data models with fixed effects

DOI10.1016/J.JECONOM.2009.08.001zbMATH Open1431.62643OpenAlexW1986866669MaRDI QIDQ77665FDOQ77665

Authors: Lung-Fei Lee, Jihai Yu, Lung-fei Lee, Jihai Yu 

Publication date: February 2010

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.08.001

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zbMATH Keywords

conditional likelihoodfixed effectspanel dataquasi-maximum likelihood estimationspatial autoregression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics to economics (62P20)

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• A spatial dynamic panel data model with both time and individual fixed effects
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