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...

Yu et al. (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with fixed effects when both the number of individuals n and the number of time periods T are large. This paper investigates unstable cases where there are unit roots...

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...