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 √nT 3
consistent and the estimates of other parameters are √nT 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 √nT 3 rate. We also propose a
bias-correction procedure so that the asymptotic biases of those estimates are eliminated
as long as n/T 3 →0.
