Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients
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More about this item
Keywordsα-mixing; Dynamic panels; High dimensionality; Least squares estimation; Spatial autoregression; Stationarity;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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