QML Estimation of Dynamic Panel Data Models with Spatial Errors

Author

Liangjun SU, Singapore Management UniversityFollow
Zhenlin YANG, Singapore Management UniversityFollow

Publication Type

Conference Proceeding Article

Publication Date

7-2006

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 derive the limiting distributions of the QML estimators under different assumptions on the individual effects and on the initial observations. Monte Carlo simulation shows that the estimators perform well in finite samples.

Discipline

Econometrics

Research Areas

Econometrics

Publication

The Third Singapore Econometrics Study Group Meeting, School of Economics and Social Sciences, Singapore Management University, July 8, 2006

Publisher

Singapore Management University

City or Country

Singapore

Citation

SU, Liangjun and YANG, Zhenlin. QML Estimation of Dynamic Panel Data Models with Spatial Errors. (2006). The Third Singapore Econometrics Study Group Meeting, School of Economics and Social Sciences, Singapore Management University, July 8, 2006.
Available at: https://ink.library.smu.edu.sg/soe_research/924

Additional URL

https://worldcat.org/oclc/669751286