A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS

DOI10.1017/s0266466609100099zbMath1185.62169MaRDI QIDQ77666

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

Publication date: 18 August 2009

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Related Items (28)

Maximum likelihood estimation of spatially and serially correlated panels with random effects ⋮ Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels ⋮ Empirical likelihood for spatial dynamic panel data models ⋮ On the Mutual Dynamics of Interregional Gross Migration Flows in Space and Time ⋮ 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 ⋮ Spatial dynamic models with intertemporal optimization: specification and estimation ⋮ Estimation of spatial autoregressive models for origin-destination flows: a partial likelihood approach ⋮ Identifying latent group structures in spatial dynamic panels ⋮ Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects ⋮ Simultaneous Spatial Panel Data Models with Common Shocks ⋮ Empirical likelihood for spatial dynamic panel data models with spatial lags and spatial errors ⋮ Population interference in panel experiments ⋮ Estimation and variable selection for high-dimensional spatial dynamic panel data models ⋮ Fixed effects spatial panel data models with time-varying spatial dependence ⋮ Efficient GMM estimation of spatial dynamic panel data models with fixed effects ⋮ A note on spatial-temporal lattice modeling and maximum likelihood estimation ⋮ Spatial dynamic panel data models with interactive fixed effects ⋮ Spatial dynamic game models for coevolution of intertemporal economic decision-making and spatial networks ⋮ SDPDmod ⋮ Estimation of partially specified spatial panel data models with random-effects ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Moment-based tests for individual and time effects in panel data models ⋮ Testing spatial dependence in spatial models with endogenous weights matrices ⋮ QML estimation of dynamic panel data models with spatial errors ⋮ Estimation of partially specified spatial panel data models with fixed-effects ⋮ Unified M-estimation of matrix exponential spatial dynamic panel specification

Cites Work

• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Panel data models with spatially correlated error components
• 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.
• Estimation Methods for Models of Spatial Interaction
• Linear Regression Limit Theory for Nonstationary Panel Data
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• 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
• The Use of Error Components Models in Combining Cross Section with Time Series Data
• A Note on Error Components Models
• The Estimation of the Variances in a Variance-Components Model
• Identification in Parametric Models
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications
• Unnamed Item
• Unnamed Item

This page was built for publication: A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS