The Asymptotic Properties of Quasi-maximum Likelihood Estimator for Spatial Error Panel Data Model

Abstract

The spatial panel data model is commonly used in practice. In order to explore the property of the parameter estimator for the spatial error panel data model with fixed effects, the quasi-maximum likelihood estimator for the model is provided in this paper. And two theorems on the asymptotic properties of the estimator are proposed and proved. For illustration, the associated simulation is employed to verify the effectiveness of the proposed strategies. Empirical results show that when the number of the spatial units is large and the number of the time series is finite, the estimator is consistent and asymptotically normal. In conclusion, it is an estimator with good performance.