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Saddlepoint approximations for spatial panel data models

Jiang, Chaonan; La Vecchia, Davide; Ronchetti, Elvezio; … - 2019

We develop new higher-order asymptotic techniques for the Gaussian maximum likelihood estimator of the parameters in a spatial panel data model, with fixed effects, time-varying covariates, and spatially correlated errors. We introduce a new saddlepoint density and tail area approximation to...

Persistent link: https://www.econbiz.de/10012003171

Should we go one step further? : an accurate comparison of one-step and two-step procedures in a generalized method of moments framework

Hwang, Jungbin; Sun, Yixiao - In: Journal of econometrics 207 (2018) 2, pp. 381-405

Persistent link: https://www.econbiz.de/10012116364

Semiparametric spatial autoregressive models with endogenous regressors : with an application to crime data

Hoshino, Tadao - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 160-172

Persistent link: https://www.econbiz.de/10011894483

GEL estimation and tests of spatial autoregressive models

Jin, Fei; Lee, Lung-fei - In: Journal of econometrics 208 (2019) 2, pp. 585-612

Persistent link: https://www.econbiz.de/10012149371

Initial conditions of dynamic panel data models : on within and between equations

Lee, Lung-fei; Yu, Jihai - In: The econometrics journal 23 (2020) 1, pp. 115-136

Persistent link: https://www.econbiz.de/10012167249

Interaction matrix selection in spatial autoregressive models with an application to growth theory

Debarsy, Nicolas; Ertur, Kamil C. - In: Regional science & urban economics 75 (2019), pp. 49-69

Persistent link: https://www.econbiz.de/10012119136

Finite-sample corrected inference for two-step GMM in time series

Hwang, Jungbin; Valdés, Gonzalo - 2020

Persistent link: https://www.econbiz.de/10012214073

Hierarchically spatial autoregressive and moving average error model

Ye, Qianting; Liang, Huajie; Lin, Kuan-pin; Long, Zhihe - In: Economic modelling 76 (2019), pp. 14-30

Persistent link: https://www.econbiz.de/10012198232

Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects

Sun, Yiguo; Malikov, Emir - In: Journal of econometrics 203 (2018) 2, pp. 359-378

Persistent link: https://www.econbiz.de/10011974689

GMM estimation of spatial panel data models with common factors and a general space-time filter

Wang, Wei; Lee, Lung-fei - In: Spatial economic analysis : the journal of the Regional … 13 (2018) 2, pp. 247-269

Persistent link: https://www.econbiz.de/10011870750

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