QML estimation of dynamic panel data models with spatial errors

• Main Authors: SU, Liangjun, YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Bootstrap Standard Errors; Dynamic Panel; Fixed Effects; Random Effects; Spatial Error Dependence; Quasi Maximum Likelihood; Initial Observations.; Econometrics
• 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
• Institution: Singapore Management University

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...