کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7357850 | 1478565 | 2018 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Unified M-estimation of fixed-effects spatial dynamic models with short panels
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
It is well known that quasi maximum likelihood (QML) estimation of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values, and a wrong treatment of them will result in inconsistency and serious bias. The same issues apply to spatial DPD (SDPD) models with short panels. In this paper, a unified M-estimation method is proposed for estimating the fixed-effects SDPD models containing three major types of spatial effects, namely spatial lag, spatial error and space-time lag. The method is free from the specification of the distribution of the initial observations and robust against nonnormality of the errors. Consistency and asymptotic normality of the proposed M-estimator are established. A martingale difference representation of the underlying estimating functions is developed, which leads to an initial-condition free estimate of the variance of the M-estimators. Monte Carlo results show that the proposed methods have excellent finite sample performance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 205, Issue 2, August 2018, Pages 423-447
Journal: Journal of Econometrics - Volume 205, Issue 2, August 2018, Pages 423-447
نویسندگان
Zhenlin Yang,