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

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