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Spatial panel simultaneous equations models with error components

Author

Listed:
  • Marius C. O. Amba

    (University of Yaounde II)

  • Taoufiki Mbratana

    (University of Yaounde II)

  • Julie Gallo

    (Université de Bourgogne Franche-Comté)

Abstract

This paper develops limited and full information estimators for a simultaneous panel data model with spatial lags on the dependent variables and spatially autocorrelated error processes in the form of spatial autoregressive or spatial moving average processes. The spatial error components are estimated with various generalized moment procedures. Monte Carlo experiments show that the proposed estimators outperform traditional estimators and also provide results on the impact of misspecifying the error process. We illustrate the various estimators on an empirical example pertaining to competition in current and capital expenditure between French municipalities in the capital region of Ile-de-France.

Suggested Citation

  • Marius C. O. Amba & Taoufiki Mbratana & Julie Gallo, 2023. "Spatial panel simultaneous equations models with error components," Empirical Economics, Springer, vol. 65(3), pages 1149-1196, September.
    • Handle: RePEc:spr:empeco:v:65:y:2023:i:3:d:10.1007_s00181-023-02368-z
    DOI: 10.1007/s00181-023-02368-z
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    References listed on IDEAS

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    More about this item

    Keywords

    Panel data; Simultaneous equations; Spatial model; Error components;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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