QML estimation of dynamic panel data models with spatial errors
نویسندگان
چکیده
منابع مشابه
QML Estimation of Dynamic Panel Data Models with Spatial Errors
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 initial observations. We propose a residual-based bootstrap met...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2015
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2014.11.002