Robust Two-Stage Estimation in General Spatial Dynamic Panel Data Models

This paper proposes a robust two-stage estimation procedure for a general spatial dynamic panel data model in light of the two-stage estimation procedure in Jin et al. (2020), in which we replace the least squares estimation in its first stage by M-estimation. We also provide the justification for not making any change in its second stage when the number of time periods is large enough. The proposed methodology is robust and efficient, and can be easily implemented. A COVID-19 data example is conducted for illustration