Maximum Likelihood Estimators For Spatial Dynamic Panel Data With Fixed Effects: The Stable Case
نویسنده
چکیده
This paper tries to explore the asymptotic properties of maximum likelihood estimators for spatial dynamic panel data with fixed effects when both the number of time periods T and number of individuals n are large. When n is proportional to T or T is relatively large, the estimator is √ nT consistent and asymptotically normal; when n is relatively large, the estimator is consistent with the rate T and has a degenerate distribution. The possible contribution of the paper is that it establishes the property of MLE of spatial dynamic panel when both T and n are large. JEL classification: C13; C23
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