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• W3003943162 abstract "We consider the estimation and inference of fixed effects (FE) spatial dynamic panel data (SDPD) models under small T and unknown heteroskedasticity by extending the M-estimation strategy for homoskedastic FE-SDPD model of Yang (2018, Journal of Econometrics). Unbiased estimating equations are obtained by adjusting the conditional quasi-score functions given the initial observations, leading to M-estimators that are free from the initial conditions and robust against unknown cross-sectional heteroskedasticity. Consistency and asymptotic normality of the proposed M-estimator are established. The standard errors are obtained by representing the estimating equations as sums of martingale differences. Monte Carlo results show that the proposed M-estimators have good finite sample performance. The practical importance and relevance of allowing for heteroskedasticity in the model is illustrated using data on sovereign risk spillover." @default.
• W3003943162 created "2020-02-07" @default.
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• W3003943162 date "2020-03-01" @default.
• W3003943162 modified "2023-09-25" @default.
• W3003943162 title "Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity" @default.
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• W3003943162 doi "https://doi.org/10.1016/j.regsciurbeco.2020.103520" @default.
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