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

• 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
• Institution: Singapore Management University

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...