Estimation of spatial autoregressive panel data models with fixed effects

By Lung-fei Lee, Jihai Yu. 2010

969 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/bdb548b4c9251290f563a97df9cf1b01916fd31b

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Citations in the corpus

Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices (2020, neutral): “…and Robinson (1993), Ord and Getis (1995), Anselin and Bera (1998), and more recently, Haining (2003), Lee (2004), Kelejian and Prucha (1999), Kelejian and Prucha (2010), Lin and Lee (2010), Lee and Yu (2010), LeSage and Pace (2010), Arbia (2010), Cressie and Wikle (2011), and Elhorst (2014).”
Estimation of Higher-Order Spatial Autoregressive Panel Data Error Component Models (2009, background): “Recent theoretical contributions of spatial panel data models include Baltagi, Song, and Koh (2003), Baltagi and Li (2004), Baltagi, Song, Jung, and Koh (2007), Kapoor, Kelejian, and Prucha (2007), Korniotis (2008), Baltagi, Egger, and Pfaffermayr (2008), and Lee and Yu (2008).”
Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model (2019, methodology): “Compared to the QMLE approach of Lee and Yu (2010), our need for both T and N to diverge arises from the fact that the spatial weight matrices are parameters to be estimated, rather than fixed.”
Large Panels with Common Factors and Spatial Correlation (2011, background): “Lee and Yu (2010) considered estimation of a spatial panel data model with individual-speci c xed e¤ects, and proposed a transformation approach to eliminate the xed e¤ects and then apply quasi-ML to the transformed model.”
A spatial panel data approach to estimating U.S. state-level energy emissions (2013, methodology): “TheHausman specification test statistic can be used to determine which estimator provides a better fit of the data (Hausman, 1978; Lee and Yu, 2010b).”
Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model (2010, methodology): “4 The assumptions underlying the asymptotic properties of (quasi)-maximum likelihood estimators for the SARAR(1,1) model are developed and discussed in Yu et al. (2008) and Lee and Yu (2008) in the panel data setting.”
Spatial weights matrix selection and model averaging for spatial autoregressive models (2017, methodology): “Under the setting of panel model with both spatial lag and spatial error (SARAR), they construct five different test procedures: one joint test, two conditional tests and two marginal tests, for a fixed effects panel model based on Lee and Yu (2010).”
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.”
Some recent developments in spatial panel data models (2010, methodology): “It can be shown that the common parameter estimates from the transformed approach are consistent when either n or T is large, and their asymptotic distributions are properly centered (Lee and Yu, 2008).”
Standardized LM Tests for Spatial Error Dependence in Linear or Panel Regressions (2013, background): “Recently, Lee and Yu (2010) studied the asymptotic properties of QML estimation of spatial panel models with fixed effects, which contain the above model as a special case.”