A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors
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Publication:4960552
DOI10.1080/00949655.2017.1392522OpenAlexW2765669130MaRDI QIDQ4960552
Zhaoyuan Fan, Yu Bai, Shaofu Zhou
Publication date: 23 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2017.1392522
quasi-maximum likelihood estimationspatial errorsMonte Carlo studiesgeneralized spatial system GMM estimationshort dynamic panel data models
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Cites Work
- Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
- Initial conditions and moment restrictions in dynamic panel data models
- Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
- GMM estimation of spatial autoregressive models with unknown heteroskedasticity
- Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels
- Neighbourhood GMM estimation of dynamic panel data models
- Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
- QML estimation of dynamic panel data models with spatial errors
- Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
- Panel Data Econometrics
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