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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 $\root \of {nT^3 }$ consistent and the estimates of other parameters are $\root \of {nT}$ 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 $\root \of {nT^3 }$ rate. We also propose a bias-correction procedure so that the asymptotic biases of those estimates are eliminated as long as n/T3 → 0.

Suggested Citation

  • Yu, Jihai & Lee, Lung-fei, 2010. "Estimation Of Unit Root Spatial Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 26(5), pages 1332-1362, October.
    • Handle: RePEc:cup:etheor:v:26:y:2010:i:05:p:1332-1362_99
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