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We propose a new spatio--temporal model with time--varying spatial weighting matrices. The filtering procedure of the time--varying unknown parameters is performed using the information contained in the score of the conditional distribution of the observables. We provide conditions for the...
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, and the associated asymptotic theory for estimation is also provided. Simulation results show that our model performs well …
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autocorrelation in technical inefficiency is permitted; (c) technical inefficiency follows a truncated-normal distribution …
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