A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS

By Lung-fei Lee, Jihai Yu. Econometric Theory, 2009

321 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b2ecc68d6eb897b1c7b3e3392401189eac20edbc

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In Economics and Econometrics

Citations in the corpus

Estimation of spatial autoregressive panel data models with fixed effects (2010, background): “For example, if λ0n = 1 − 1/n under n → ∞, it is a near unit root case for a cross sectional SAR model and S−1n will not be UB (see Lee and Yu, 2007).”
GM Estimation of Higher Order Spatial Autoregressive Processes in Panel Data Error Component Models (2008, unknown): “…Robinson, 1992; Bell and Boecksteal, 2000; and Cohen and Morrison Paul, 2007, for applications with 1 Apart from Kapoor, Kelejian, and Prucha (2007), panel data models for SAR processes have been suggested, for instance, by Anselin (1988), Baltagi, Song, Jung, and Koh (2007), and Lee and Yu (2007).”
Some recent developments in spatial panel data models (2010, methodology): “10 This bias has been worked out for the stable case in Lee and Yu (2007).”
Unified M-estimation of fixed-effects spatial dynamic models with short panels (2018, background): “…al., 2008), where the spatial effects may appear in the model either in the form of spatial lag(s) of the response variable (Yu et al., 2008; Yu and Lee, 2010; Lee and Yu, 2010a; Korniotis, 2010; Elhorst, 2010), or in the form of spatial errors (Elhorst, 2005; Yang et al., 2006; Mutl, 2006; Su and…”
Dynamic spatial panels: models, methods, and inferences (2012, methodology): “The main message of these studies seems to be that the bias Lee and Yu (2010c) have recently found to occur in theory may reduce so strongly that they become acceptable in practice.”
Convergence in CO2 emissions: A spatial economic analysis with cross-country interactions (2018, methodology): “This general spatial panel specification including country-fixed is estimated by means of the Bias-Corrected-Maximum-Likelihood (BCQML) developed of Lee and Yu (2010a) for dynamic spatial panels.”