{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,17]],"date-time":"2026-09-17T05:55:20Z","timestamp":1789624520114,"version":"build-2803163510"},"reference-count":19,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2010,2,17]],"date-time":"2010-02-17T00:00:00Z","timestamp":1266364800000},"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":[[2010,10]]},"abstract":"This paper examines the asymptotics of the QMLE for unit root dynamic panel data models with spatial effect and fixed effects. We consider a unit root dynamic panel data model with spatially correlated disturbances and a unit root spatial dynamic panel data model. For both models the estimate of the dynamic coefficient is$\\root \\of {nT^3 }$<\/jats:alt-text><\/jats:inline-graphic>consistent and the estimates of other parameters are$\\root \\of {nT}$<\/jats:alt-text><\/jats:inline-graphic>consistent, and all of them are asymptotically normal. For the latter model the sum of the contemporaneous spatial effect and dynamic spatial effect converges at$\\root \\of {nT^3 }$<\/jats:alt-text><\/jats:inline-graphic>rate. We also propose a bias-correction procedure so that the asymptotic biases of those estimates are eliminated as long asn\/T<\/jats:italic>3<\/jats:sup>\u2192 0.<\/jats:p>","DOI":"10.1017\/s0266466609990600","type":"journal-article","created":{"date-parts":[[2010,2,17]],"date-time":"2010-02-17T11:39:28Z","timestamp":1266406768000},"page":"1332-1362","source":"Crossref","is-referenced-by-count":48,"title":["ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS"],"prefix":"10.1017","volume":"26","author":[{"given":"Jihai","family":"Yu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Lung-fei","family":"Lee","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2010,2,17]]},"reference":[{"key":"S0266466609990600_ref8","doi-asserted-by":"publisher","DOI":"10.1023\/A:1007707430416"},{"key":"S0266466609990600_ref7","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.09.004"},{"key":"S0266466609990600_ref12","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00558.x"},{"key":"S0266466609990600_ref3","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00120-9"},{"key":"S0266466609990600_ref6","first-page":"179","volume-title":"Advances in Econometrics","volume":"15","author":"Kao","year":"2000"},{"key":"S0266466609990600_ref4","first-page":"511","volume-title":"Palgrave Handbook of Econometrics","volume":"1","author":"Choi","year":"2006"},{"key":"S0266466609990600_ref1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(82)90095-1"},{"key":"S0266466609990600_ref2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.09.001"},{"key":"S0266466609990600_ref9","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00064-1"},{"key":"S0266466609990600_ref5","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00344"},{"key":"S0266466609990600_ref10","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.09.011"},{"key":"S0266466609990600_ref11","unstructured":"Korniotis G.M. (2005) A Dynamic Panel Estimator with Both Fixed and Spatial Effects. Working paper, University of Notre Dame."},{"key":"S0266466609990600_ref14","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2003.10.020"},{"key":"S0266466609990600_ref16","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00070"},{"key":"S0266466609990600_ref17","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":"S0266466609990600_ref18","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.08.002"},{"key":"S0266466609990600_ref19","unstructured":"Yu J. & Lee L.F. (2009) Convergence: A Spatial Dynamic Panel Data Approach. Working paper, Ohio State University."},{"key":"S0266466609990600_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.10.004"},{"key":"S0266466609990600_ref15","first-page":"93","volume-title":"Advances in Econometrics","volume":"15","author":"Pedroni","year":"2000"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466609990600","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,5,30]],"date-time":"2023-05-30T08:17:15Z","timestamp":1685434635000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466609990600\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,2,17]]},"references-count":19,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2010,10]]}},"alternative-id":["S0266466609990600"],"URL":"https:\/\/doi.org\/10.1017\/s0266466609990600","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,2,17]]}}}