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Estimation for spatial dynamic panel data with fixed effects: The case of spatial cointegration

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  • Yu, Jihai
  • de Jong, Robert
  • Lee, Lung-fei
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Abstract

Yu et al. (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with fixed effects when both the number of individuals n and the number of time periods T are large. This paper investigates unstable cases where there are unit roots generated by temporal and spatial correlations. We focus on the spatial cointegration model where some eigenvalues of the data generating process are equal to 1 and the outcomes of spatial units are cointegrated as in a vector autoregressive system. The asymptotics of the QML estimators are developed by reparameterization, and bias correction for the estimators is proposed. We also consider the 2SLS and GMM estimations when T could be small.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304407611002417
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 167 (2012)
Issue (Month): 1 ()
Pages: 16-37

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Handle: RePEc:eee:econom:v:167:y:2012:i:1:p:16-37

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Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: Spatial autoregression; Dynamic panels; Fixed effects; Quasi-maximum likelihood estimation; Bias correction; Generalized method of moments; Spatial cointegration; Unit root;

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