Estimation of spatial panel data models with time varying spatial weights matrices

Wei Wang and Jihai Yu ()

Economics Letters, 2015, vol. 128, issue C, 95-99

Abstract: This paper investigates the quasi-maximum likelihood (QML) estimation of spatial panel data models where spatial weights matrices can be time varying. We show that QML estimate is consistent and asymptotically normal. We also derive the asymptotic distribution of average impact coefficients (direct, indirect, total). Monte Carlo results are reported to investigate the finite sample properties of QML estimates and impact coefficients.

Keywords: Spatial autoregression; Panel data; Time varying spatial weights matrices; Fixed effects; Maximum likelihood; Impact analysis (search for similar items in EconPapers)
JEL-codes: C13 C23 R15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:128:y:2015:i:c:p:95-99

DOI: 10.1016/j.econlet.2015.01.021

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