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ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS

Published online by Cambridge University Press:  17 February 2010

Jihai Yu  and
Lung-fei Lee
Jihai Yu
Affiliation:
University of Kentucky
Lung-fei Lee*
Affiliation:
Ohio State University
*
*Address correspondence to Lung-fei Lee, Department of Economics, Ohio State University, Columbus, OH 43210, USA; e-mail: lflee@econ.ohio-state.edu.
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Abstract

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 the dynamic coefficient is consistent and the estimates of other parameters are consistent, and all of them are asymptotically normal. For the latter model the sum of the contemporaneous spatial effect and dynamic spatial effect converges at rate. We also propose a bias-correction procedure so that the asymptotic biases of those estimates are eliminated as long as n/T3 → 0.

Type
ARTICLES
Information
Econometric Theory , Volume 26 , Issue 5 , October 2010 , pp. 1332 - 1362
Copyright
Copyright © Cambridge University Press 2010

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