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Efficient GMM estimation of spatial dynamic panel data models with fixed effects

Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 180 (2014) 2, pp. 174-197

Persistent link: https://www.econbiz.de/10010433390

Estimation of fixed effects panel regression models with separable and nonseparable space-time filters

Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 184 (2015) 1, pp. 174-192

Persistent link: https://www.econbiz.de/10011326795

QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices

Qu, Xi; Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 197 (2017) 2, pp. 173-201

Persistent link: https://www.econbiz.de/10011818351

Specification and estimation of network formation and network interaction models with the exponential probability distribution

Hsieh, Chih-sheng; Lee, Lung-fei; Boucher, Vincent - 2019

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Asymptotic properties of a spatial autoregressive stochastic frontier model

Jin, Fei; Lee, Lung-fei - 2020

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Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances

Jin, Fei; Lee, Lung-fei - In: Economics letters 194 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012509367

First difference estimation of spatial dynamic panel data models with fixed effects

Jin, Fei; Lee, Lung-fei; Yu, Jihai - In: Economics letters 189 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012228071

QML and efficient GMM estimation of spatial autoregressive models with dominant (popular) units

Lee, Lung-fei; Yang, Chao; Yu, Jihai - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 550-562

Persistent link: https://www.econbiz.de/10014448355

Estimation of fixed effects panel regression models with separable and nonseparable space–time filters

Lee, Lung-fei; Yu, Jihai - In: Journal of Econometrics 184 (2015) 1, pp. 174-192

This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual fixed effects, where the disturbances have dynamic and spatial correlations which might be spatially stable or unstable. We first consider both separable and nonseparable...

Persistent link: https://www.econbiz.de/10011077609

Efficient GMM estimation of spatial dynamic panel data models with fixed effects

Lee, Lung-fei; Yu, Jihai - In: Journal of Econometrics 180 (2014) 2, pp. 174-197

In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM estimation methods are designed with the fixed individual and time effects eliminated from the...

Persistent link: https://www.econbiz.de/10010776914