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Estimation of fixed effects panel regression models with separable and nonseparable space-time filters

Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 184 (2015) 1, pp. 174-192

Persistent link: https://www.econbiz.de/10011326795

Efficient GMM estimation of spatial dynamic panel data models with fixed effects

Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 180 (2014) 2, pp. 174-197

Persistent link: https://www.econbiz.de/10010433390

Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances

Jin, Fei; Lee, Lung-fei - In: Economics letters 194 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012509367

First difference estimation of spatial dynamic panel data models with fixed effects

Jin, Fei; Lee, Lung-fei; Yu, Jihai - In: Economics letters 189 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012228071

Asymptotic properties of a spatial autoregressive stochastic frontier model

Jin, Fei; Lee, Lung-fei - 2020

Persistent link: https://www.econbiz.de/10012249706

Specification and estimation of network formation and network interaction models with the exponential probability distribution

Hsieh, Chih-sheng; Lee, Lung-fei; Boucher, Vincent - 2019

Persistent link: https://www.econbiz.de/10012008719

QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices

Qu, Xi; Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 197 (2017) 2, pp. 173-201

Persistent link: https://www.econbiz.de/10011818351

QML and efficient GMM estimation of spatial autoregressive models with dominant (popular) units

Lee, Lung-fei; Yang, Chao; Yu, Jihai - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 550-562

Persistent link: https://www.econbiz.de/10014448355

Efficient GMM estimation of spatial dynamic panel data models with fixed effects

Lee, Lung-fei; Yu, Jihai - In: Journal of Econometrics 180 (2014) 2, pp. 174-197

In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM estimation methods are designed with the fixed individual and time effects eliminated from the...

Persistent link: https://www.econbiz.de/10010776914

Estimation for spatial dynamic panel data with fixed effects: The case of spatial cointegration

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...

Persistent link: https://www.econbiz.de/10011052285