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Title: Estimation and Model Selection in General Spatial Dynamic Panel Data Models

Speaker: Yuehua Wu 

Affiliation: Department of Mathematics and Statistics, York University

Additional Information:
This is a CANSSI Ontario STatistics Seminar
See event on the website.

Abstract:
Common methods for estimating parameters of spatial dynamic panel data models include two-stage least squares, quasi-maximum likelihood, and generalized moments. In this talk, we present a method that uses the eigenvalues and eigenvectors of a spatial weight matrix to directly construct consistent least squares estimators of parameters of general spatial dynamic panel data models for both undirected and directed networks. Our method is conceptually simple and effective, and easy to implement. Results show that our parameter estimators are consistent and asymptotically normally distributed under mild conditions. We demonstrate the superior performance of our method through extensive simulation studies. We also provide two real data examples.