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$\root \of {nT^3 }$consistent and the estimates of other parameters are$\root \of {nT}$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$\root \of {nT^3 }$rate. We also propose a bias-correction procedure so that the asymptotic biases of those estimates are eliminated as long asn/T3→ 0.
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