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 prove consistency and derive the limiting distributions...

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Bibliographic Details
Main Authors: SU, Liangjun, YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
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Online Access:https://ink.library.smu.edu.sg/soe_research/1485
https://ink.library.smu.edu.sg/context/soe_research/article/2484/viewcontent/SuYang_JOE10112014.pdf
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Institution: Singapore Management University
Language: English

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