Robust estimation and inference of spatial panel data models with fixed effects

Robust estimation and inference of spatial panel data models with fixed effects

It is well established that the quasi maximum likelihood (QML) estimation of the spatial regression models is generally inconsistent under unknown cross-sectional heteroskedasticity (CH) and the CH-robust methods have been developed. The same issue remains for the spatial panel data (SPD) models but...

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Bibliographic Details
Main Authors: LIU, Shew Fan, YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Spatial dependence
Spatial panel data
Fixed effects
Unknown heteroskedasticity
Non-normality
AQS estimator
Robust standard error
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2445
https://ink.library.smu.edu.sg/context/soe_research/article/3444/viewcontent/SARAR_Panel_FEH_2019_11.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2445
https://ink.library.smu.edu.sg/context/soe_research/article/3444/viewcontent/SARAR_Panel_FEH_2019_11.pdf

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