Estimation of spatial panel data models with time varying spatial weights matrices

C-Tier
Journal: Economics Letters
Year: 2015
Volume: 128
Issue: C
Pages: 95-99

Authors (2)

Wang, Wei (not in RePEc) Yu, Jihai (Peking University)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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 (direct, indirect, total). Monte Carlo results are reported to investigate the finite sample properties of QML estimates and impact coefficients.

Technical Details

RePEc Handle
repec:eee:ecolet:v:128:y:2015:i:c:p:95-99
Journal Field
General
Author Count
2
Added to Database
2026-01-29