Estimation of fixed effects panel regression models with separable and nonseparable space-time filters

DOI10.1016/j.jeconom.2014.08.006zbMath1332.62331OpenAlexW2092180530MaRDI QIDQ473362

Lung-fei Lee, Jihai Yu

Publication date: 24 November 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.08.006

zbMATH Keywords

fixed effectspanel datatime effectsspatial autoregressionquasi-maximum likelihood estimationexact likelihood functionexplosive rootsspace-time filterspatial cointegration

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Testing for heteroskedasticity in two-way fixed effects panel data models ⋮ Empirical likelihood for spatial dynamic panel data models ⋮ First difference estimation of spatial dynamic panel data models with fixed effects ⋮ Scalable semiparametric spatio-temporal regression for large data analysis ⋮ Heterogeneous panel data models with cross-sectional dependence ⋮ Spatial dynamic panel data models with interactive fixed effects ⋮ A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors ⋮ Fixed-effects dynamic spatial panel data models and impulse response analysis ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• Estimation of spatial autoregressive panel data models with fixed effects
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Testing for serial correlation, spatial autocorrelation and random effects using panel data
• Panel data models with spatially correlated error components
• The origin of spatial interaction
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• A space-time filter for panel data models containing random effects
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
• Unbalanced panel data: a survey
• Aggregation of space-time processes.
• The incidental parameter problem since 1948
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Forecasting with spatial panel data
• Serial and spatial error correlation
• QML estimation of dynamic panel data models with spatial errors
• Estimating Panel Models With Internal and External Habit Formation
• Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals
• Matrix Analysis
• Estimation Methods for Models of Spatial Interaction
• SPATIAL PANELS: RANDOM COMPONENTS VERSUS FIXED EFFECTS*
• Estimation of spatial autoregressive models with randomly missing data in the dependent variable
• Best Linear Unbiased Prediction in the Generalized Linear Regression Model
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Matrix theory. Basic results and techniques
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

This page was built for publication: Estimation of fixed effects panel regression models with separable and nonseparable space-time filters