Dear Statalisters,
I would like to estimate the following dynamic panel model with individual (a_i) and time (z_t) FE and spatial errors:
y_it = tau*y_it-1 + beta*X_it + a_i + z_t + e_it,
where e_it = lambda*W*v_it + u_it, W denotes a spatial weighting matrix.
For estimation, I would like to implement the qMLE estimator that has been proposed by Su, L., & Yang, Z. (2015). As far as I know, this particular qMLE estimator is not included in the XSMLE package. Is this estimator available with STATA anywhere else? Alternatively, are there any packages that allow to fit this model by GMM? I am fairly new to the spatial methods implemented in STATA....
Thank you very much for your replies!
Best,
Fiete
Reference:
Su, L., & Yang, Z. (2015). QML estimation of dynamic panel data models with spatial errors. Journal of Econometrics,185(1), 230-258.
I would like to estimate the following dynamic panel model with individual (a_i) and time (z_t) FE and spatial errors:
y_it = tau*y_it-1 + beta*X_it + a_i + z_t + e_it,
where e_it = lambda*W*v_it + u_it, W denotes a spatial weighting matrix.
For estimation, I would like to implement the qMLE estimator that has been proposed by Su, L., & Yang, Z. (2015). As far as I know, this particular qMLE estimator is not included in the XSMLE package. Is this estimator available with STATA anywhere else? Alternatively, are there any packages that allow to fit this model by GMM? I am fairly new to the spatial methods implemented in STATA....
Thank you very much for your replies!
Best,
Fiete
Reference:
Su, L., & Yang, Z. (2015). QML estimation of dynamic panel data models with spatial errors. Journal of Econometrics,185(1), 230-258.
