Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large

By Jihai Yu, R. Jong, Lung-fei Lee. 2008

605 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2d5e663ed9bf0e002aa4e3fa162a72c4ceca1aa8

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In Economics and Econometrics

Citations in the corpus

THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE (2015, background): “In contrast, Elhorst (2004, 2010), Su and Yang (2007), and Yu, Jong, and Lee (2008) employ a spatial approach to model the cross-section dependence.”
Conflict, Climate, and Cells: A Disaggregated Analysis (2018, positive): “The model in equation (3) is a dynamic, spatially autoregressive Durbin model that we estimate by maximum likelihood following Parent and LeSage (2012) and Yu, de Jong, and Lee (2008), clustering standard errors by cell.”
Dynamic spatial panels: models, methods, and inferences (2012, methodology): “|g| \ 1, put forward in Yu et al. (2008), is too restrictive.”
A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS (2009, background): “For the concentrated log likelihood function (7) divided by the effective sample size (n − 1)T , the corresponding expected value function is Qn,T (θ) = Emaxcn 1/((n −1)T ) ln Ln,T (θ,cn), which is Qn,T (θ) = −1 2 ln2π − 1 2 lnσ 2 − 1 n −1 ln(1−λ)+ 1 n −1 ln |Sn(λ)| − 1 2σ 2(n −1)T E ( T ∑ t=1 Ṽ ′n”
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2016, neutral): “Large n and large T asymptotics for QMLE of the spatial model with static dependence parameter are studied in Yu et al. (2008).”
ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS (2010, methodology): “18) 15The inverse formulae has been obtained in Yu et al. (2007) for a matrix with a similar pattern in (3.”
Some recent developments in spatial panel data models (2010, methodology): “Yu et al. (2007, 2008) and Yu and Lee (2007) study, respectively, the spatial cointegration, stable, and unit root models where the individual time lag, spatial time lag and contemporaneous spatial lag are all included.”
Measuring resilience to economic shocks: an application to Spain (2018, methodology): “However, Yu et al. (2008) developed a bias corrected maximum likelihood algorithm with good properties.”