QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices

DOI10.1016/J.JECONOM.2016.11.004zbMath1422.62288OpenAlexW2560597405MaRDI QIDQ515123

Lung-fei Lee, Xi Qu, Jihai Yu

Publication date: 10 March 2017

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.11.004

zbMATH Keywords

fixed effectsQMLEspatial autoregressiondynamic panelsendogenous spatial weights matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Spatial models in economics (91B72)

Related Items (10)

Empirical likelihood for panel data models with spatial errors ⋮ Impact Analysis for Spatial Autoregressive Models: With Application to Air Pollution in China ⋮ Empirical likelihood for spatial dynamic panel data models with spatial lags and spatial errors ⋮ Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables ⋮ Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix ⋮ Spatial dynamic game models for coevolution of intertemporal economic decision-making and spatial networks ⋮ A spatial latent class model ⋮ Testing spatial dependence in spatial models with endogenous weights matrices ⋮ Sparse spatio-temporal autoregressions by profiling and bagging ⋮ Spatial econometrics for misaligned data

Cites Work

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• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
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• Testing panel data regression models with spatial error correlation.
• Estimating a spatial autoregressive model with an endogenous spatial weight matrix
• QML estimation of dynamic panel data models with spatial errors
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• The econometrics of panel data. Fundamental and recent developments in theory and practice.
• The Oxford Handbook of Panel Data
• Estimating Panel Models With Internal and External Habit Formation
• Matrix Analysis
• SPATIAL PANELS: RANDOM COMPONENTS VERSUS FIXED EFFECTS*
• ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS
• A Generalized Spatial Panel Data Model with Random Effects
• Identification in Parametric Models

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