ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS

Jihai Yu () and Lung-Fei Lee

Econometric Theory, 2010, vol. 26, issue 5, 1332-1362

Abstract: This paper examines the asymptotics of the QMLE for unit root dynamic panel data models with spatial effect and fixed effects. We consider a unit root dynamic panel data model with spatially correlated disturbances and a unit root spatial dynamic panel data model. For both models the estimate of the dynamic coefficient is $\root \of {nT^3 }$ consistent and the estimates of other parameters are $\root \of {nT}$ consistent, and all of them are asymptotically normal. For the latter model the sum of the contemporaneous spatial effect and dynamic spatial effect converges at $\root \of {nT^3 }$ rate. We also propose a bias-correction procedure so that the asymptotic biases of those estimates are eliminated as long as n/T3 → 0.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:26:y:2010:i:05:p:1332-1362_99

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