Estimation of spatial autoregressive panel data models with fixed effects

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• 作者：Lung-fei Lee ; Jihai Yu
• 关键词：Spatial autoregression ; Panel data ; Fixed effects ; Quasi-maximum likelihood estimation ; Conditional likelihood
• 刊名：Journal of Econometrics
• 出版年：2010
• 出版时间：February 2010
• 年：2010
• 卷：154
• 期：2
• 页码：165-185
• 全文大小：3434 K

文摘

This paper establishes asymptotic properties of quasi-maximum likelihood estimators for SAR panel data models with fixed effects and SAR disturbances. A direct approach is to estimate all the parameters including the fixed effects. Because of the incidental parameter problem, some parameter estimators may be inconsistent or their distributions are not properly centered. We propose an alternative estimation method based on transformation which yields consistent estimators with properly centered distributions. For the model with individual effects only, the direct approach does not yield a consistent estimator of the variance parameter unless T is large, but the estimators for other common parameters are the same as those of the transformation approach. We also consider the estimation of the model with both individual and time effects.