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Spatial dynamic panel data models with random effects

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  • Parent, Olivier
  • LeSage, James P.

Abstract

We develop a general space–time filter applied to panel data models in order to control for heterogeneity as well as both time and spatial dependence. Treatment of initial period observations is analyzed when the number of time periods is small. A second issue relates to a restriction implied by the filter specification on the space–time cross-product term that can greatly simplify interpretation of model estimates as well as the estimation procedure. An applied illustration of the method is provided using a Solow growth model. The application shows that the theoretical restriction implied for the cross-product term in our space–time filter specification is consistent with this particular dynamic space–time panel data set.

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Bibliographic Info

Article provided by Elsevier in its journal Regional Science and Urban Economics.

Volume (Year): 42 (2012)
Issue (Month): 4 ()
Pages: 727-738

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Handle: RePEc:eee:regeco:v:42:y:2012:i:4:p:727-738

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Related research

Keywords: Spatial correlation; Dynamic panels; Bayesian estimations;

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References

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Citations

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Cited by:
  1. Manfred M. Fischer & James P. LeSage, 2013. "A Bayesian space-time approach to identifying and interpreting regional convergence clubs in Europe," ERSA conference papers ersa13p39, European Regional Science Association.
  2. Philipp Breidenbach & Timo Mitze & Christoph Schmidt, 2011. "Evaluating EU Regional Policy: Many Empirical Specifications, One (Unpleasant) Result," ERSA conference papers ersa11p1144, European Regional Science Association.
  3. Parent, Olivier & LeSage, James P., 2010. "A spatial dynamic panel model with random effects applied to commuting times," Transportation Research Part B: Methodological, Elsevier, vol. 44(5), pages 633-645, June.
  4. Corinne Autant-Bernard, 2011. "Spatial econometrics of innovation: Recent contributions and research perspectives," Working Papers halshs-00605056, HAL.

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