A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS
This paper establishes asymptotic properties of quasi-maximum likelihood estimators for spatial dynamic panel data with both time and individual fixed effects when the number of individuals <italic>n</italic> and the number of time periods <italic>T</italic> can be large. We propose a data transformation approach to eliminate the time effects. When <italic>n / T</italic> → 0, the estimators are <inline-graphic>null</inline-graphic> consistent and asymptotically centered normal; when <italic>n</italic> is asymptotically proportional to <italic>T</italic>, they are <inline-graphic>null</inline-graphic> consistent and asymptotically normal, but the limit distribution is not centered around 0; when <italic>n / T</italic> → ∞, the estimators are consistent with rate <italic>T</italic> and have a degenerate limit distribution. We also propose a bias correction for our estimators. When n<sup>1/3</sup> / <italic>T</italic> → 0, the correction will asymptotically eliminate the bias and yield a centered confidence interval. The estimates from the transformation approach can be consistent when <italic>n</italic> is a fixed finite number.
Year of publication: |
2010
|
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Authors: | Lee, Lung-fei ; Yu, Jihai |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 26.2010, 02, p. 564-597
|
Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
Saved in:
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