Maximum likelihood estimation of spatially and serially correlated panels with random effects

DOI10.1016/j.csda.2013.07.024zbMath1471.62140OpenAlexW2008051619MaRDI QIDQ1621373

Giovanni Millo

Publication date: 8 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.07.024

zbMATH Keywords

serial correlationmaximum likelihoodspatial panel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Inference from spatial processes (62M30) Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Special issue on statistical algorithms and software in R ⋮ Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias ⋮ The asymptotic distribution of robust maximum likelihood estimator with Huber function for the mixed spatial autoregressive model with outliers

Uses Software

• R
• nlme
• sandwich
• spdep
• Arc_Mat
• spam
• plm
• splm
• Maxlik
• Ecdat
• maxLik
• bdsmatrix

Cites Work

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• maxLik: a package for maximum likelihood estimation in R
• The Hausman test in a Cliff and Ord panel model
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• Specification Tests in Econometrics
• On the Pooling of Time Series and Cross Section Data
• SPATIAL PANELS: RANDOM COMPONENTS VERSUS FIXED EFFECTS*
• A Generalized Spatial Panel Data Model with Random Effects
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