Quasi-Maximum Likelihood Estimation for Spatial Panel Data Regressions. Paper presented at the Spatial Econometrics Workshop

This article considers quasi-maximum likelihood estimations (QMLE) for two spatial panel data regression models: mixed effects model with spatial er-rors and transformed mixed effects model (where response and covariates are transformed) with spatial errors. One aim of transformation is to normalize the data, thus the transformed models are more robust with respect to the nor-mality assumption compared with the standard ones. QMLE method provides additional protection against violation of normality assumption. Asymptotic properties of the QMLEs are investigated. Numerical illustrations are provided