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Empirical likelihood for spatial dynamic panel data models with spatial lags and spatial errors

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  • Jianrong Rong
  • Yan Liu
  • Yongsong Qin

Abstract

We study spatial dynamic panel data models with both spatial lags and spatial errors. The empirical likelihood (EL) ratio statistics are constructed for the parameters of the models. It is shown that the limiting distributions of the EL ratio statistics are chi-square distributions, which are used to construct confidence regions for the parameters of the models. A simulation study is conducted to compare the performances of the EL based and the normal approximation (NA) based confidence regions. Simulation results show that the EL can be computationally easier than the NA method to implement in practice.

Suggested Citation

  • Jianrong Rong & Yan Liu & Yongsong Qin, 2023. "Empirical likelihood for spatial dynamic panel data models with spatial lags and spatial errors," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(18), pages 6658-6683, September.
    • Handle: RePEc:taf:lstaxx:v:52:y:2023:i:18:p:6658-6683
    DOI: 10.1080/03610926.2022.2032172
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