Advanced Search
MyIDEAS: Login to save this paper or follow this series

Unconditional maximum likelihood estimation of dynamic models for spatial panels

Contents:

Author Info

  • Elhorst, J. Paul

    (Groningen University)

Abstract

This paper hammers out the estimation of a fixed effects dynamic panel data model extended either to include spatial error autocorrelation or a spatially lagged dependent variable. To overcome the inconsistencies associated with the traditional least squares dummy estimator, the models are first-differenced to eliminate the fixed effects and then the unconditional likelihood function is derived taking into account the density function of the first-differenced observations on each spatial unit. When exogenous variables are omitted, the exact likelihood function of both models is found to exist. When exogenous variables are included, the presample values of these variables and thus the likelihood function must be approximated. Two leading cases are considered: the Bhargava and Sargan approximation and the Nerlove and Balestra approximation. As an application, a dynamic demand model for cigarettes is estimated based on panel data from 46 American states over the period 1963 to 1992.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://irs.ub.rug.nl/ppn/25230568X
Download Restriction: no

Bibliographic Info

Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 03C27.

as in new window
Length:
Date of creation: 2003
Date of revision:
Handle: RePEc:dgr:rugsom:03c27

Contact details of provider:
Postal: PO Box 800, 9700 AV Groningen
Phone: +31 50 363 7185
Fax: +31 50 363 3720
Email:
Web page: http://som.eldoc.ub.rug.nl/
More information through EDIRC

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Gabriele Tondl & Harald Badinger & Werner Müller, 2003. "Regional convergence in the European Union (1985-1999). A spatial dynamic panel analysis," ERSA conference papers ersa03p455, European Regional Science Association.
  2. Hsiao, Cheng & Hashem Pesaran, M. & Kamil Tahmiscioglu, A., 2002. "Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods," Journal of Econometrics, Elsevier, Elsevier, vol. 109(1), pages 107-150, July.
  3. Arellano, Manuel, 1989. "A note on the Anderson-Hsiao estimator for panel data," Economics Letters, Elsevier, Elsevier, vol. 31(4), pages 337-341, December.
  4. Bhargava, Alok & Sargan, J D, 1983. "Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods," Econometrica, Econometric Society, Econometric Society, vol. 51(6), pages 1635-59, November.
  5. Ahn, Seung C. & Schmidt, Peter, 1997. "Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation," Journal of Econometrics, Elsevier, Elsevier, vol. 76(1-2), pages 309-321.
  6. Elhorst, J.P., 2000. "Dynamic models in space and time," Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management) 00C16, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  7. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  8. Baltagi, Badi H & Levin, Dan, 1986. "Estimating Dynamic Demand for Cigarettes Using Panel Data: The Effects of Bootlegging, Taxation and Advertising Reconsidered," The Review of Economics and Statistics, MIT Press, vol. 68(1), pages 148-55, February.
  9. Baltagi, Badi H. & Levin, Dan, 1992. "Cigarette taxation: Raising revenues and reducing consumption," Structural Change and Economic Dynamics, Elsevier, Elsevier, vol. 3(2), pages 321-335, December.
  10. Kathleen P. Bell & Nancy E. Bockstael, 2000. "Applying the Generalized-Moments Estimation Approach to Spatial Problems Involving Microlevel Data," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 72-82, February.
  11. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, Econometric Society, vol. 49(6), pages 1417-26, November.
  12. Badi H. Baltagi & James M. Griffin & Weiwen Xiong, 2000. "To Pool Or Not To Pool: Homogeneous Versus Hetergeneous Estimations Applied to Cigarette Demand," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 117-126, February.
  13. Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 68(1), pages 5-27, July.
  14. Anselin, Luc & Hudak, Sheri, 1992. "Spatial econometrics in practice : A review of software options," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 22(3), pages 509-536, September.
  15. Hahn, Jinyong, 1999. "How informative is the initial condition in the dynamic panel model with fixed effects?," Journal of Econometrics, Elsevier, Elsevier, vol. 93(2), pages 309-326, December.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Minfeng Deng & George Athanasopoulos, 2009. "Modelling Australian Domestic and International Inbound Travel: a Spatial-Temporal Approach," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 10/09, Monash University, Department of Econometrics and Business Statistics.
  2. Kukenova, Madina & Monteiro, Jose-Antonio, 2008. "Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation," MPRA Paper 11569, University Library of Munich, Germany, revised Nov 2008.
  3. Jonathan Jones & Colin Wren, 2008. "FDI Location Across British Regions and Inward Investment Policy," SERC Discussion Papers, Spatial Economics Research Centre, LSE 0013, Spatial Economics Research Centre, LSE.
  4. Colin Wren & Jonathan Jones, 2011. "Assessing The Regional Impact Of Grants On Fdi Location: Evidence From U.K. Regional Policy, 1985–2005," Journal of Regional Science, Wiley Blackwell, Wiley Blackwell, vol. 51(3), pages 497-517, 08.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:dgr:rugsom:03c27. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joke Bulthuis).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.