This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual fixed effects, where the disturbances have dynamic and spatial correlations which might be spatially stable or unstable. We first consider both separable and nonseparable...

Spatial panel models have panel data structures to capture spatial interactions across spatial units and over time. There are static as well as dynamic models. This text provides some recent developments on the specification and estimation of such models. The first part will consider estimation...

This paper investigates the quasi-maximum likelihood (QML) estimation of spatial panel data models where spatial weights matrices can be time varying. We show that QML estimate is consistent and asymptotically normal. We also derive the asymptotic distribution of average impact coefficients...