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ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS

Published online by Cambridge University Press:  17 February 2010

Jihai Yu  and
Lung-fei Lee
Jihai Yu
Affiliation:
University of Kentucky
Lung-fei Lee*
Affiliation:
Ohio State University
*
*Address correspondence to Lung-fei Lee, Department of Economics, Ohio State University, Columbus, OH 43210, USA; e-mail: lflee@econ.ohio-state.edu.
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Abstract

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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.

Information

Type
ARTICLES
Information
Econometric Theory , Volume 26 , Issue 5 , October 2010 , pp. 1332 - 1362
Copyright
Copyright © Cambridge University Press 2010

References

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