Estimation of unit root spatial dynamic panel data models
نویسندگان
چکیده
This paper examines the asymptotics of the QMLE for unit root spatial dynamic panel data models with xed e¤ects. When the exogenous variables or xed e¤ects are included in the DGP, the estimate for the dynamic coe¢ cient is p nT 3 consistent and the estimates of other parameters are p nT consistent, and all of them are asymptotically normal. Also, sum of the contemporaneous spatial e¤ect and dynamic spatial e¤ect converges at p nT 3 rate. We also propose a bias correction procedure so that the bias of those estimates will be eliminated as long as n=T 3 ! 0. A version of the model can be used to study the unit root dynamic panel data with spatially correlated disturbances. JEL classi cation: C13; C23
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