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 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
• 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 derive the limiting distributions of the QML estimators u...