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EC3SLS estimator for a simultaneous system of spatial autoregressive equations with random effects
Baltagi, Badi H.; Deng, Ying - In: Econometric reviews 34 (2015) 6/10, pp. 659-694
Persistent link: https://www.econbiz.de/10011483370
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A time-space dynamic panel data model with spatial moving average errors
Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2018
This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel data model with Spatial Moving Average Random Effects (SMA-RE) structure of the disturbances. A dynamic spatial Generalized Moments (GM) estimator is proposed which combines the...
Persistent link: https://www.econbiz.de/10011872320
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A Hausman test based on the difference between fixed effects two-stage least squares and error components two-stage least squares : solution
Baltagi, Badi H. - In: Econometric theory 21 (2005) 2, pp. 483-484
Persistent link: https://www.econbiz.de/10002740838
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The estimation and testing of a linear regression with near unit root in the spatial autoregressive error term
Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: Spatial economic analysis : the journal of the Regional … 8 (2013) 3, pp. 241-270
Persistent link: https://www.econbiz.de/10010202741
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An alternative derivation of Mundlak's fixed effects results using system estimation
Baltagi, Badi H. - In: Econometric theory 22 (2006) 6, pp. 1191-1194
Persistent link: https://www.econbiz.de/10003396980
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Monte Carlo results on pure and pretest estimators of an error component model with autocorrelated disturbances
Baltagi, Badi H. - In: Annales d'économie et de statistique (1997), pp. 69-82
Persistent link: https://www.econbiz.de/10001235270
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On instrumental variable estimation of semiparametric dynamic panel data models
Baltagi, Badi H.; Li, Qi - In: Economics letters 76 (2002) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10001671967
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Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors : the case of stationary and non-stationary...
Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: The econometrics journal 11 (2008) 3, pp. 554-572
Persistent link: https://www.econbiz.de/10003802390
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A Monte Carlo Study for Pure and Pretest Estimators of a Panel Data Model with Spatially Autocorrelated Disturbances
Baltagi, Badi H.; Egger, Peter H.; Pfaffermayr, Michael - 2011
compared using Monte Carlo experiments. These include (i) MLE of a random effects model that ignore the spatial correlation … same spatial autocorrelation; (iv) MLE described in Baltagi, et al. (2006) which allows the spatial correlation parameter …
Persistent link: https://www.econbiz.de/10014183164
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Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors : The Case of Stationary and Non-Stationary Regress...
Baltagi, Badi H.; Kao, Chihwa; Liu, Long - 2011
This paper studies the asymptotic properties of standard panel data estimators in a simple panel regression model with error component disturbances. Both the regressor and the remainder disturbance term are assumed to be autoregressive and possibly non-stationary. Asymptotic distributions are...
Persistent link: https://www.econbiz.de/10014183167