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

被引：10
|
作者：
Wang, Wei [1 ]
Yu, Jihai [2 ]
机构：
[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200030, Peoples R China
[2] Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China
来源：
ECONOMICS LETTERS | 2015年 / 128卷
基金：
美国国家科学基金会;
关键词：
Spatial autoregression; Panel data; Time varying spatial weights matrices; Fixed effects; Maximum likelihood; Impact analysis;
D O I：
10.1016/j.econlet.2015.01.021
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：95 / 99
页数：5
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