Yu, Jihai; de Jong, Robert; Lee, Lung-fei - In: Journal of Econometrics 146 (2008) 1, pp. 118-134
This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects, when both the number of individuals n and the number of time periods T are large. We consider the case where T is asymptotically large relative to n, the...