Panel VAR Models with Spatial Dependence
AbstractI consider a panel vector autoregressive (panel VAR) model with cross sectional dependence of the model disturbances that can be characterized by a first order spatial autoregressive process. I derive asymptotic properties of a constrained maximum likelihood estimator that uses a consistent estimate of the degree of the spatial autocorrelation to concentrate the likelihood function. The asymptotic properties are derived taking the time dimension of the panel as fixed and letting the cross-sectional dimension tend to infinity.
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Bibliographic InfoPaper provided by International Conferences on Panel Data in its series 10th International Conference on Panel Data, Berlin, July 5-6, 2002 with number A5-2.
Date of creation: Mar 2002
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Other versions of this item:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-04 (All new papers)
- NEP-ECM-2002-07-10 (Econometrics)
- NEP-ETS-2002-07-04 (Econometric Time Series)
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