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Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects Generalized method of moment
2016/1/26
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects
2016/1/20
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Effcient GMM estimation of spatial dynamic panel data models with fixed effects
Spatial autoregression Dynamic panels Fixed e¤ects Generalized method of moment Many moments
2016/1/19
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with …xed e¤ects when n is large, and T can be large, but small relative to n. The GMM esti...
QML estimation of spatial dynamic panel data models with time varying spatial weights matrices
Spatial autoregression Dynamic panels Time varying spatial weights matrix Fixed ef- fects Maximum likelihood
2016/1/19
This paper investigates the quasi-maximum likelihood estimation of spatial dynamic panel data mod-els where spatial weights matrices can be time varying. We …nd that QML estimate is consistent and asy...
Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
semiparametric dynamic NPGMM consistency asymptotic
2011/4/2
We suggest using a class of semiparametric dynamic panel data models to capture
individual variations in panel data. The model assumes linearity in some
continuous/discrete variables that can be exo...
Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
Local linear fitting generalized method of moments instrumental variables panel data varying coefficient model
2011/4/6
We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continu ous/discrete variables which can be exo...