Journal
JOURNAL OF ECONOMETRICS
Volume 197, Issue 2, Pages 173-201Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2016.11.004
Keywords
Spatial autoregression; Dynamic panels; Fixed effects; Endogenous spatial weights matrix; QMLE
Categories
Funding
- National Science Foundation of China [71601115, 71322105, 71532001]
- Center for Statistical Science of Peking University
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In spatial panel data models, when a spatial weights matrix is constructed from economic or social distance, spatial weights could be endogenous and also time varying. This paper presents model specification and proposes QMLE estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices. Asymptotic properties of the proposed QMLE are rigorously established. We extend the notion of spatial near-epoch dependence to allow time dependence. By using spatial-time LLN for near-epoch dependence process and CLT for martingale difference sequence, we establish the consistency and asymptotic normality of QMLE. Monte Carlo experiments show that the proposed estimators have satisfactory finite sample performance. (C) 2016 Elsevier B.V. All rights reserved.
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