QML Estimation of Dynamic Panel Data Models with Spatial Errors

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 estimators u...

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Bibliographic Details
Main Authors: SU, Liangjun, YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
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/1490
https://ink.library.smu.edu.sg/context/soe_research/article/2489/viewcontent/Panel_QMLE20121005.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1490
https://ink.library.smu.edu.sg/context/soe_research/article/2489/viewcontent/Panel_QMLE20121005.pdf

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