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...

Background It is a well-known phenomenon that nonlinearities that are inherent in the relationship among economic variables negatively affect the commonly used estimators in the econometric models. The nonlinearities cause an instability of the estimated parameters that, in particular, are...

This paper proposes a semiparametric estimator for spatial autoregressive (SAR) binary choice models in the context of panel data with fixed effects. The estimation procedure is based on the observational equivalence between distribution free models with a conditional median restriction and...