Publication Type

Journal Article

Publication Date

3-2015

Abstract

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 prove consistency and derive the limiting distributions of the QML estimators under different assumptions on the initial observations. We propose a residual-based bootstrap method for estimating the standard errors of the QML estimators. Monte Carlo simulation shows that both the QML estimators and the bootstrap standard errors perform well in finite samples under a correct assumption on initial observations, but may perform poorly when this assumption is not met.

Keywords

Bootstrap Standard Errors, Dynamic Panel, Fixed Effects, Random Effects, Spatial Error Dependence, Quasi Maximum Likelihood, Initial Observations.

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Econometrics

Volume

185

Issue

1

First Page

230

Last Page

258

ISSN

0304-4076

Identifier

10.1016/j.jeconom.2014.11.002

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1016/j.jeconom.2014.11.002

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Econometrics Commons

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