QML Estimation of Dynamic Panel Data Models with Spatial Errors
We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension (n) is large and the time dimension (T) is fixed. We consider both the random effects and fixed effects models and derive the limiting distributions of the QML estimato...
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2006
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sg-smu-ink.soe_research-19232017-08-05T09:08:28Z QML Estimation of Dynamic Panel Data Models with Spatial Errors SU, Liangjun YANG, Zhenlin We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension (n) is large and the time dimension (T) is fixed. We consider both the random effects and fixed effects models and derive the limiting distributions of the QML estimators under different assumptions on the individual effects and on the initial observations. Monte Carlo simulation shows that the estimators perform well in finite samples. 2006-07-01T07:00:00Z text https://ink.library.smu.edu.sg/soe_research/924 https://search.library.smu.edu.sg/primo-explore/fulldisplay?docid=SMU_ALMA2135120750002601&context=L&vid=SMU_NUI&search_scope=Everything&tab=default_tab&lang=en_US Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics |
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Econometrics SU, Liangjun YANG, Zhenlin QML Estimation of Dynamic Panel Data Models with Spatial Errors |
| description |
We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension (n) is large and the time dimension (T) is fixed. We consider both the random effects and fixed effects models and derive the limiting distributions of the QML estimators under different assumptions on the individual effects and on the initial observations. Monte Carlo simulation shows that the estimators perform well in finite samples. |
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text |
| author |
SU, Liangjun YANG, Zhenlin |
| author_facet |
SU, Liangjun YANG, Zhenlin |
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SU, Liangjun |
| title |
QML Estimation of Dynamic Panel Data Models with Spatial Errors |
| title_short |
QML Estimation of Dynamic Panel Data Models with Spatial Errors |
| title_full |
QML Estimation of Dynamic Panel Data Models with Spatial Errors |
| title_fullStr |
QML Estimation of Dynamic Panel Data Models with Spatial Errors |
| title_full_unstemmed |
QML Estimation of Dynamic Panel Data Models with Spatial Errors |
| title_sort |
qml estimation of dynamic panel data models with spatial errors |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2006 |
| url |
https://ink.library.smu.edu.sg/soe_research/924 https://search.library.smu.edu.sg/primo-explore/fulldisplay?docid=SMU_ALMA2135120750002601&context=L&vid=SMU_NUI&search_scope=Everything&tab=default_tab&lang=en_US |
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1770569341149904896 |