Fixed effects estimators in nonlinear panel models with fixed T usually suffer from inconsistency because of the incidental parameters problem first noted by Neyman and Scott (1948). Moreover, even though T grows at the same rate as n, they are asymptotically biased and therefore the associated...

This paper considers spatial heteroskedasticity and autocorrelation consistent (spatial HAC) estimation of covariance matrices of parameter estimators. We generalize the spatial HAC estimators introduced by Kelejian and Prucha (2007) to apply to linear and nonlinear spatial models with moment...