{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,4]],"date-time":"2026-10-04T17:05:02Z","timestamp":1791133502786,"version":"4.1.0"},"reference-count":29,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2009,8,18]],"date-time":"2009-08-18T00:00:00Z","timestamp":1250553600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2010,4]]},"abstract":"\n This paper establishes asymptotic properties of quasi-maximum likelihood estimators for spatial dynamic panel data with both time and individual fixed effects when the number of individuals\n n<\/jats:italic>\n and the number of time periods\n T<\/jats:italic>\n can be large. We propose a data transformation approach to eliminate the time effects. When\n n \/ T<\/jats:italic>\n \u2192 0, the estimators are\n \n $\\root \\of {nT}$<\/jats:alt-text>\n <\/jats:inline-graphic>\n consistent and asymptotically centered normal; when\n n<\/jats:italic>\n is asymptotically proportional to\n T<\/jats:italic>\n , they are\n \n $\\root \\of {nT}$<\/jats:alt-text>\n <\/jats:inline-graphic>\n consistent and asymptotically normal, but the limit distribution is not centered around 0; when\n n \/ T<\/jats:italic>\n \u2192 \u221e, the estimators are consistent with rate\n T<\/jats:italic>\n and have a degenerate limit distribution. We also propose a bias correction for our estimators. When n\n 1\/3<\/jats:sup>\n \/\n T<\/jats:italic>\n \u2192 0, the correction will asymptotically eliminate the bias and yield a centered confidence interval. The estimates from the transformation approach can be consistent when\n n<\/jats:italic>\n is a fixed finite number.\n <\/jats:p>","DOI":"10.1017\/s0266466609100099","type":"journal-article","created":{"date-parts":[[2009,8,18]],"date-time":"2009-08-18T04:32:17Z","timestamp":1250569937000},"page":"564-597","source":"Crossref","is-referenced-by-count":258,"title":["A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS"],"prefix":"10.1017","volume":"26","author":[{"given":"Lung-fei","family":"Lee","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jihai","family":"Yu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,8,18]]},"reference":[{"key":"S0266466609100099_ref26","doi-asserted-by":"publisher","DOI":"10.2307\/1909205"},{"key":"S0266466609100099_ref25","volume-title":"Principles of Econometrics","author":"Theil","year":"1971"},{"key":"S0266466609100099_ref24","doi-asserted-by":"publisher","DOI":"10.2307\/1913267"},{"key":"S0266466609100099_ref21","doi-asserted-by":"publisher","DOI":"10.2307\/1913351"},{"key":"S0266466609100099_ref20","unstructured":"Lin X. & Lee L.F. (2005) GMM Estimation of Spatial Autoregressive Models with Unknown Heteroskedasticity. Working paper, Ohio State University."},{"key":"S0266466609100099_ref18","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.10.004"},{"key":"S0266466609100099_ref17","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00558.x"},{"key":"S0266466609100099_ref16","doi-asserted-by":"crossref","unstructured":"Kelejian H.H. & Prucha I.R. (2007) Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. Working paper, University of Maryland.","DOI":"10.2139\/ssrn.1296549"},{"key":"S0266466609100099_ref14","doi-asserted-by":"publisher","DOI":"10.1023\/A:1007707430416"},{"key":"S0266466609100099_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.09.004"},{"key":"S0266466609100099_ref8","doi-asserted-by":"crossref","unstructured":"Foote C.L . 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Working paper, Ohio State University."},{"key":"S0266466609100099_ref4","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00120-9"},{"key":"S0266466609100099_ref23","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00070"},{"key":"S0266466609100099_ref12","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton","year":"1994"},{"key":"S0266466609100099_ref15","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00064-1"},{"key":"S0266466609100099_ref27","doi-asserted-by":"crossref","unstructured":"Yu J. , de Jong R. , & Lee L.F. (2007) Quasi-Maximum Likelihood Estimators for Spatial Dynamic Panel Data with Fixed Effects when both n and T Are Large: A Nonstationary Case. Working paper, Ohio State University.","DOI":"10.1016\/j.jeconom.2008.08.002"},{"key":"S0266466609100099_ref7","doi-asserted-by":"publisher","DOI":"10.1002\/jae.963"},{"key":"S0266466609100099_ref19","unstructured":"Lee L.F. & Yu J. (2007) Near Unit Root in the Spatial Autoregressive Model. Working paper, Ohio State University."},{"key":"S0266466609100099_ref22","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1975.10480272"},{"key":"S0266466609100099_ref3","doi-asserted-by":"publisher","DOI":"10.1007\/978-94-015-7799-1"},{"key":"S0266466609100099_ref11","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00533.x"},{"key":"S0266466609100099_ref5","doi-asserted-by":"publisher","DOI":"10.2307\/2938168"},{"key":"S0266466609100099_ref9","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00344"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466609100099","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,5,26]],"date-time":"2023-05-26T07:04:06Z","timestamp":1685084646000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466609100099\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2009,8,18]]},"references-count":29,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2010,4]]}},"alternative-id":["S0266466609100099"],"URL":"https:\/\/doi.org\/10.1017\/s0266466609100099","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2009,8,18]]}}}