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Estimation Of Unit Root Spatial Dynamic Panel Data Models

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  • Yu, Jihai
  • Lee, Lung-fei

Abstract

This paper examines the asymptotics of the QMLE for unit root dynamic panel data models with spatial effect and fixed effects. We consider a unit root dynamic panel data model with spatially correlated disturbances and a unit root spatial dynamic panel data model. For both models the estimate of the dynamic coefficient is consistent and the estimates of other parameters are consistent, and all of them are asymptotically normal. For the latter model the sum of the contemporaneous spatial effect and dynamic spatial effect converges at rate. We also propose a bias-correction procedure so that the asymptotic biases of those estimates are eliminated as long as n/T3 0.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 26 (2010)
Issue (Month): 05 (October)
Pages: 1332-1362

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Handle: RePEc:cup:etheor:v:26:y:2010:i:05:p:1332-1362_99

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Cited by:
  1. Giovanni Millo & Gianfranco Piras, . "splm: Spatial Panel Data Models in R," Journal of Statistical Software, American Statistical Association, vol. 47(i01).
  2. Pesaran, M. Hashem & Tosetti, Elisa, 2007. "Large Panels with Common Factors and Spatial Correlations," IZA Discussion Papers 3032, Institute for the Study of Labor (IZA).
  3. Baylis, Katherine R. & Paulson, Nicholas D. & Piras, Gianfranco, 2011. "Spatial Approaches to Panel Data in Agricultural Economics: A Climate Change Application," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 43(03), August.
  4. Salima Bouayad-Agha & Nadine Turpin & Lionel Vedrine, 2010. "Fostering the potential endogenous development of European regions: a spatial dynamic panel data analysis of the Cohesion Policy on regional convergence over the period 1980-2005," Papers 2010-17, TEPP Working Papers.
  5. Lee, Lung-fei & Yu, Jihai, 2010. "Some recent developments in spatial panel data models," Regional Science and Urban Economics, Elsevier, vol. 40(5), pages 255-271, September.

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