Yu, Jihai; de Jong, Robert; Lee, Lung-fei - In: Journal of Econometrics 167 (2012) 1, pp. 16-37
Yu et al. (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with fixed effects when both the number of individuals n and the number of time periods T are large. This paper investigates unstable cases where there are unit roots...