corrects for spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the … the dynamic panel data model GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) and supplementing the … dynamic panel data estimators. The performance of these spatial dynamic panel data estimators is investigated by means of …

This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and … known to affect conventional GMM estimation when the autoregressive coefficient (rho) is near unity. In both panel and time … even in very small samples. The approach is applied to panel unit root testing …