کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096434 | 1376528 | 2012 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Estimation for spatial dynamic panel data with fixed effects: The case of spatial cointegration
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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 generated by temporal and spatial correlations. We focus on the spatial cointegration model where some eigenvalues of the data generating process are equal to 1 and the outcomes of spatial units are cointegrated as in a vector autoregressive system. The asymptotics of the QML estimators are developed by reparameterization, and bias correction for the estimators is proposed. We also consider the 2SLS and GMM estimations when T could be small.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 167, Issue 1, March 2012, Pages 16-37
Journal: Journal of Econometrics - Volume 167, Issue 1, March 2012, Pages 16-37
نویسندگان
Jihai Yu, Robert de Jong, Lung-fei Lee,