Unified M-estimation of fixed-effects spatial dynamic models with short panels

Unified M-estimation of fixed-effects spatial dynamic models with short panels

It is well known that quasi maximum likelihood (QML) estimation of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values, and a wrong treatment of them will result in inconsistency and serious bias. The same issues apply to spatial DPD (SDPD) models with...

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Bibliographic Details
Main Author: YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Adjusted quasi score
Dynamic panels
Fixed effects
Initial-condition free estimation
Martingale difference
Spatial effects
Short panels
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2282
https://ink.library.smu.edu.sg/context/soe_research/article/3281/viewcontent/Unified_M_estimation_pp.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2282
https://ink.library.smu.edu.sg/context/soe_research/article/3281/viewcontent/Unified_M_estimation_pp.pdf

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