Maximum likelihood estimation of spatially and serially correlated panels with random effects

被引：42

作者：

Millo, Giovanni ^{[1
]}

机构：

[1] Assicuraz Gen SpA, Gen Res & Dev, I-34131 Trieste, Italy

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2014年 / 71卷

关键词：

Spatial panel; Maximum likelihood; Serial correlation; R; DATA MODELS; SPECIFICATION; TIME; AUTOCORRELATION; ECONOMETRICS; EFFICIENCY; LAG;

D O I：

10.1016/j.csda.2013.07.024

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

An estimation framework and a user-friendly software implementation are described for maximum likelihood estimation of panel data models with random effects, a spatially lagged dependent variable and spatially and serially correlated errors. This specification extends static panel data models in the direction of serial error correlation, allowing richer modelling possibilities and more thorough diagnostic assessments. The estimation routines extend the functionalities of the splm package for spatial panel econometrics in the open source R system for statistical computing. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：914 / 933

页数：20

共 50 条

[1] Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects
Karlsson S.
Skoglund J.
Empirical Economics, 2004, 29 (1) : 79 - 88
[2] Maximum likelihood estimation for ordered expectations of correlated binary variables
Wojciech Gamrot
Statistical Papers, 2013, 54 : 727 - 739
[3] Maximum likelihood estimation for ordered expectations of correlated binary variables
Gamrot, Wojciech
STATISTICAL PAPERS, 2013, 54 (03) : 727 - 739
[4] Maximum likelihood estimation of noisy Gaussian Markov random fields
Coli, M
Ippoliti, L
ITI 2002: PROCEEDINGS OF THE 24TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY INTERFACES, 2002, : 85 - 90
[5] Testing random effects in linear mixed-effects models with serially correlated errors
Drikvandi, Reza
Noorian, Sajad
BIOMETRICAL JOURNAL, 2019, 61 (04) : 802 - 812
[6] Efficiency of quasi-likelihood estimation for spatially correlated binary data on Lp spaces
Lin, Pei-Sheng
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2008, 138 (06) : 1528 - 1541
[7] Maximum Likelihood Estimation of Parameters of a Random Variable Using Monte Carlo Methods
Oualid Saci
Megdouda Ourbih-Tari
Leila Baiche
Sankhya A, 2023, 85 : 540 - 571
[8] Maximum Likelihood Estimation of Parameters of a Random Variable Using Monte Carlo Methods
Saci, Oualid
Ourbih-Tari, Megdouda
Baiche, Leila
SANKHYA-SERIES A-MATHEMATICAL STATISTICS AND PROBABILITY, 2023, 85 (01): : 540 - 571
[9] A note on maximum likelihood estimation
Hengartner, NW
AMERICAN STATISTICIAN, 1999, 53 (02) : 123 - 125
[10] Maximum entropy and maximum likelihood in spectral estimation
Landau, HJ
IEEE TRANSACTIONS ON INFORMATION THEORY, 1998, 44 (03) : 1332 - 1336

← 1 2 3 4 5 →