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Estimation of Higher-Order Spatial Autoregressive Panel Data Error Component Models

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  • Harald Badinger
  • Peter Egger

Abstract

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM) estimation procedure of the spatial autoregressive parameters of the disturbance process and define a generalized two-stages least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators, derive their joint asymptotic distribution, and provide Monte Carlo evidence on their small sample performance.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2009/wp-cesifo-2009-02/cesifo1_wp2556.pdf
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Bibliographic Info

Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 2556.

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Date of creation: 2009
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Handle: RePEc:ces:ceswps:_2556

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Related research

Keywords: higher-order spatial dependence; generalized moments estimation; two-stages least squares; asymptotic statistics;

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References

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  1. Viliam Druska & William C. Horrace, 2002. "Generalized Moments Estimation for Spatial Panel Data: Indonesian Rice Farming," Econometrics 0206004, EconWPA, revised 11 May 2003.
  2. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2005. "Estimating Models of Complex FDI: Are There Third-Country Effects?," Center for Policy Research Working Papers 73, Center for Policy Research, Maxwell School, Syracuse University.
  3. Gilbert, Scott, 2002. "Testing the distribution of error components in panel data models," Economics Letters, Elsevier, vol. 77(1), pages 47-53, September.
  4. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2012. "A Generalized Spatial Panel Data Model with Random Effects," CESifo Working Paper Series 3930, CESifo Group Munich.
  5. Kelejian, Harry H. & Robinson, Dennis P., 1992. "Spatial autocorrelation : A new computationally simple test with an application to per capita county police expenditures," Regional Science and Urban Economics, Elsevier, vol. 22(3), pages 317-331, September.
  6. Egger, Peter & Pfaffermayr, Michael & Winner, Hannes, 2005. "An unbalanced spatial panel data approach to US state tax competition," Economics Letters, Elsevier, vol. 88(3), pages 329-335, September.
  7. Badi Baltagi & Dong Li, 2000. "LM Tests for Functional Form and Spatial Correlation," Econometric Society World Congress 2000 Contributed Papers 0099, Econometric Society.
  8. Kelejian, Harry H. & Prucha, Ingmar R., 2007. "HAC estimation in a spatial framework," Journal of Econometrics, Elsevier, vol. 140(1), pages 131-154, September.
  9. Badi H. Baltagi & Seuck Heun Song & Won Koh, 2002. "Testing Panel Data Regression Models with Spatial Error Correlation," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B6-4, International Conferences on Panel Data.
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  14. Giuseppe Arbia & Roberto Basile & Gianfranco Piras, 2005. "Using Spatial Panel Data in Modelling Regional Growth and Convergence," ISAE Working Papers 55, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
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  16. Audretsch, David B & Feldman, Maryann P, 1996. "R&D Spillovers and the Geography of Innovation and Production," American Economic Review, American Economic Association, vol. 86(3), pages 630-40, June.
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  18. Shroder, Mark, 1995. "Games the States Don't Play: Welfare Benefits and the Theory of Fiscal Federalism," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 183-91, February.
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  20. Harald Badinger & Peter Egger, 2008. "GM Estimation of Higher-Order Spatial Autoregressive Processes in Cross-Section Models with Heteroskedastic Disturbances," CESifo Working Paper Series 2356, CESifo Group Munich.
  21. Joris Pinkse & Margaret E. Slade & Craig Brett, 2002. "Spatial Price Competition: A Semiparametric Approach," Econometrica, Econometric Society, vol. 70(3), pages 1111-1153, May.
  22. Harald Badinger & Peter Egger, 2008. "Horizontal versus Vertical Interdependence in Multinational Activity," CESifo Working Paper Series 2327, CESifo Group Munich.
  23. Harald Badinger & Peter Egger, 2011. "Estimation of higher‐order spatial autoregressive cross‐section models with heteroscedastic disturbances," Papers in Regional Science, Wiley Blackwell, vol. 90(1), pages 213-235, 03.
  24. Kelejian, Harry H & Prucha, Ingmar R, 1998. "A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 99-121, July.
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  27. Baltagi, Badi H. & Heun Song, Seuck & Cheol Jung, Byoung & Koh, Won, 2007. "Testing for serial correlation, spatial autocorrelation and random effects using panel data," Journal of Econometrics, Elsevier, vol. 140(1), pages 5-51, September.
  28. Jeffrey P. Cohen & Catherine J. Morrison Paul, 2004. "Public Infrastructure Investment, Interstate Spatial Spillovers, and Manufacturing Costs," The Review of Economics and Statistics, MIT Press, vol. 86(2), pages 551-560, May.
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Cited by:
  1. Oleksandr Shepotylo, 2010. "Spatial complementarity of FDI: example of transition countries," Discussion Papers 29, Kyiv School of Economics.
  2. Harald Badinger & Peter Egger, 2011. "Estimation of spatial autoregressive M-way error component panel data models," The Annals of Regional Science, Springer, vol. 47(2), pages 269-310, October.

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