QML Estimation of Dynamic Panel Data Models with Spatial Errors

• المؤلفون الرئيسيون: SU, Liangjun, YANG, Zhenlin
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2013
• الموضوعات: Bootstrap Standard Errors; Dynamic Panel; Fixed Effects; Random Effects; Spatial Error Dependence; Quasi Maximum Likelihood; Initial Observations; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1490; https://ink.library.smu.edu.sg/context/soe_research/article/2489/viewcontent/Panel_QMLE20121005.pdf
• المؤسسة: 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 derive the limiting distributions of the QML estimators u...