Publication Type
Working Paper
Version
publishedVersion
Publication Date
3-2015
Abstract
This paper examines the finite sample properties of the quasi maximum likelihood (QML) estimators of the fixed effects spatial panel data (FE-SPD) models of Lee and Yu (2010). Following the general bias correction methods recently developed by Yang (2015), we derive up to third-order bias corrections for the QML estimators of the FE-SPD model, and propose a simple bootstrap method for their practical implementation. Monte Carlo results reveal that the QML estimators of the spatial parameters can be quite biased and that a second-order bias correction effectively removes the bias. The validity of the bootstrap method is established. Variance corrections are also considered, which together with bias corrections lead to improved inferences.
Keywords
Bias correction, Variance correction, Bootstrap, Spatial panel, Individual fixed effects, Time fixed effects, Quasi maximum likelihood, Spatial lag, Spatial error, Spatial ARAR
Discipline
Econometrics
Research Areas
Econometrics
First Page
1
Last Page
31
Publisher
SMU Economics and Statistics Working Paper Series, Paper No. 04-2015
City or Country
Singapore
Citation
Yang, Zhenlin; YU, Jihai; and LIU, Shew Fan.
Bias correction for fixed effects spatial panel data models. (2015). 1-31.
Available at: https://ink.library.smu.edu.sg/soe_research/1754
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.