Robust estimation and inference of spatial panel data models with fixed effects
نویسندگان
چکیده
منابع مشابه
Estimation of spatial autoregressive panel data models with fixed effects
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 estimatorsmay be inconsistent or their distributions are not properly centered. We propose an alternative...
متن کاملEstimation of Partially Linear Panel Data Models with Fixed Effects
This paper considers the problem of estimating a partially linear semipara-metric fixed effects panel data model with possible endogeneity. Using the series method, we establish the root N normality result for the estimator of the parametric component, and we show that the unknown function can be consistently estimated at the standard nonparametric rate. c 2002 Peking University Press
متن کاملRobust Standard Error Estimation in Fixed-effects Panel Models*
This paper focuses on standard error estimation in Fixed-Effects panel models if there is serial correlation in the error process. Applied researchers have often ignored the problem, probably because major statistical packages do not estimate robust standard errors in FE models. Not surprisingly, this can lead to severe bias in the standard error estimates, both in hypothetical and real-life si...
متن کاملNonparametric estimation and testing of fixed effects panel data models.
In this paper we consider the problem of estimating nonparametric panel data models with fixed effects. We introduce an iterative nonparametric kernel estimator. We also extend the estimation method to the case of a semiparametric partially linear fixed effects model. To determine whether a parametric, semiparametric or nonparametric model is appropriate, we propose test statistics to test betw...
متن کاملHeteroskedasticity, Autocorrelation, and Spatial Correlation Robust Inference in Linear Panel Models with Fixed-E¤ects
This paper develops an asymptotic theory for test statistics in linear panel models that are robust to heteroskedasticity, autocorrelation and/or spatial correlation. Two classes of standard errors are analyzed. Both are based on nonparametric heteroskedasticity autocorrelation (HAC) covariance matrix estimators. The rst class is based on averages of HAC estimates across individuals in the cro...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Japanese Journal of Statistics and Data Science
سال: 2020
ISSN: 2520-8756,2520-8764
DOI: 10.1007/s42081-020-00075-y