Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels

DOI10.1016/j.jeconom.2017.08.019zbMath1452.62968OpenAlexW2275628904MaRDI QIDQ1644255

Zhenlin Yang

Publication date: 21 June 2018

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.08.019

zbMATH Keywords

fixed effectsdynamic panelsmartingale differencespatial effectsadjusted quasi scoreinitial-condition free estimationOPMDrobust against nonnormalityshort panels

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35)

Related Items (10)

Spatial dynamic panel data models with correlated random effects ⋮ First difference estimation of spatial dynamic panel data models with fixed effects ⋮ Robust estimation and inference of spatial panel data models with fixed effects ⋮ Simultaneous Spatial Panel Data Models with Common Shocks ⋮ Imputed quantile tensor regression for near-sited spatial-temporal data ⋮ Fixed effects spatial panel data models with time-varying spatial dependence ⋮ Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models ⋮ Unnamed Item ⋮ A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors ⋮ Unified M-estimation of matrix exponential spatial dynamic panel specification

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