Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity

Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity

We consider the estimation and inference of fixed effects (FE) spatial dynamic panel data (SDPD) models under small T and unknown heteroskedasticity by extending the M-estimation strategy for homoskedastic FE-SDPD model of Yang (2018, Journal of Econometrics). Unbiased estimating equations are obtai...

Full description

Saved in:
Bibliographic Details
Main Authors: LI, Liyao, YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Adjusted quasi score
Dynamic panels
Fixed effects
Initial-condition
Martingale difference
Short panels
Spatial effects
Unknown heteroskedasticity
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2360
https://ink.library.smu.edu.sg/context/soe_research/article/3359/viewcontent/LiYang2020.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2360
https://ink.library.smu.edu.sg/context/soe_research/article/3359/viewcontent/LiYang2020.pdf

Similar Items