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Full-Text Articles in Social and Behavioral Sciences
Bias Correction And Refined Inferences For Fixed Effects Spatial Panel Data Models, Zhenlin Yang, Jihai Yu, Shew Fan Liu
Bias Correction And Refined Inferences For Fixed Effects Spatial Panel Data Models, Zhenlin Yang, Jihai Yu, Shew Fan Liu
Research Collection School Of Economics
This paper first presents simple methods for conducting up to third-order bias and variance corrections for the quasi maximum likelihood (QML) estimators of the spatial parameter(s) in the fixed effects spatial panel data (FE-SPD) models. Then, it shows how the bias and variance corrections lead to refined t-ratios for spatial effects and for covariate effects. The implementation of these corrections depends on the proposed bootstrap methods of which validity is established. Monte Carlo results reveal that (i) the QML estimators of the spatial parameters can be quite biased, (ii) a second-order bias correction effectively removes the bias, and (iii) the …
A Practical Test For Strict Exogeneity In Linear Panel Data Models With Fixed Effects, Liangjun Su, Yonghui Zhang, Jie Wei
A Practical Test For Strict Exogeneity In Linear Panel Data Models With Fixed Effects, Liangjun Su, Yonghui Zhang, Jie Wei
Research Collection School Of Economics
This paper provides a practical test for strict exogeneity in linear panel data models with fixed effects when the number of individuals N goes to infinity while the number of time periods T is fixed. The test is based on the supremum of a sequence of Wald test statistics. Under suitable conditions, we establish the asymptotic distribution of the test statistic and consistency of the test. A bootstrap procedure is proposed to improve the finite sample performance and the validity of the procedure is justified. We investigate the finite sample performance of the test via a small set of Monte …