Unified M-estimation of matrix exponential spatial dynamic panel specification

In this paper, a unified M-estimation method in Yang (2018 Yang, Z. (2018). Unified of fixed-effects spatial dynamic models with short panels. Journal Econometrics 205(2):423–447. doi:https://doi.org/10.1016/j.jeconom.2017.08.019[Crossref], [Web Science ®] , [Google Scholar]) is extended to the matrix exponential panel specification (MESDPS) fixed effects Similar STLE model which includes lag effect, space-time effect and error Scholar]), quasi-maximum likelihood (QML) estimation for MESDPS also has initial condition problem. The initial-condition free M-estimator paper solves problem proved be consistent asymptotically normal. An outer product martingale difference (OPMD) estimator variance-covariance (VC) derived consistent. finite sample property studied through an extensive Monte Carlo study. applied US outward FDI data show its validity.