Unified M-estimation of fixed-effects spatial dynamic models with short panels

被引:40
作者
Yang, Zhenlin [1 ]
机构
[1] Singapore Management Univ, Sch Econ, 90 Stamford Rd, Singapore 178903, Singapore
关键词
Adjusted quasi score; Dynamic panels; Fixed effects; Initial-condition free estimation; Martingale difference; OPMD; Spatial effects; Short panels; MAXIMUM LIKELIHOOD ESTIMATORS; TIME; INFERENCE;
D O I
10.1016/j.jeconom.2017.08.019
中图分类号
F [经济];
学科分类号
02 ;
摘要
It is well known that quasi maximum likelihood (QML) estimation of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values, and a wrong treatment of them will result in inconsistency and serious bias. The same issues apply to spatial DPD (SDPD) models with short panels. In this paper, a unified M-estimation method is proposed for estimating the fixed-effects SDPD models containing three major types of spatial effects, namely spatial lag, spatial error and space-time lag. The method is free from the specification of the distribution of the initial observations and robust against nonnormality of the errors. Consistency and asymptotic normality of the proposed M-estimator are established. A martingale difference representation of the underlying estimating functions is developed, which leads to an initial-condition free estimate of the variance of the M-estimators. Monte Carlo results show that the proposed methods have excellent finite sample performance. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码:423 / 447
页数:25
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