Yu, Jihai; Lee, Lung-fei - In: Econometric Theory 26 (2010) 05, pp. 1332-1362
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...