Continuous-Time Modelling with Spatial Dependence
Abstract(Spatial) panel data are routinely modelled in discrete time (DT). However, there are compelling arguments for continuous time (CT) modelling of (spatial) panel data. Particularly, most social processes evolve in CT, so that statistical analysis in DT is an oversimplification, gives an incomplete representation of reality and may lead to misinterpretation of estimation results. The most compelling reason for a CT approach is that, in contrast to DT modelling, it allows adequate modelling of dynamic adjustment processes. The paper introduces spatial dependence in a CT modelling framework. We propose a nonlinear Structural Equation Model (SEM) with latent variables for estimation of the Exact Discrete Model (EDM), which links the CT model parameters to the DT observations. The use of a SEM with latent variables makes it possible to take measurement errors in the variables into account, leading to a reduction of attenuation bias (i.e., disattenuation). The SE M-CT model with spatial dependence developed here is the first dynamic structural equation model with spatial dependence. The spatial econometric SEM-CT framework is illustrated on the basis of a simple regional labour market model for Germany made up of the endogenous state variables unemployment change and population change and of the exogenous input variables change in regional average wage and change in the structure of the manufacturing sector.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 11-117/3.
Date of creation: 09 Aug 2011
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continuous-time modelling; structural equation modelling; latent variables; spatial dependence; panel data; disattenuation; measurement errors; unemployment change; population change; Germany;
Other versions of this item:
- Johan H.L. Oud & Henk Folmer & Roberto Patuelli & Peter Nijkamp, 2008. "Continuous-Time Modelling with Spatial Dependence," Working Paper Series 39-08, The Rimini Centre for Economic Analysis, revised Oct 2010.
- Johan H. L. Oud & Henk Folmer & Roberto Patuelli & Peter Nijkamp, 2008. "A Spatial-Dependence Continuous-Time Model for Regional Unemployment in Germany," Quaderni della facoltÃ di Scienze economiche dell'UniversitÃ di Lugano 0811, USI Università della Svizzera italiana.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- E24 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
- O18 - Economic Development, Technological Change, and Growth - - Economic Development - - - Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure
- R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-15 (All new papers)
- NEP-ECM-2011-08-15 (Econometrics)
- NEP-GEO-2011-08-15 (Economic Geography)
- NEP-URE-2011-08-15 (Urban & Real Estate Economics)
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- Roberto Patuelli & Norbert Schanne & Daniel A. Griffith & Peter Nijkamp, 2012.
"Persistence Of Regional Unemployment: Application Of A Spatial Filtering Approach To Local Labor Markets In Germany,"
Journal of Regional Science,
Wiley Blackwell, vol. 52(2), pages 300-323, 05.
- Roberto Patuelli & Norbert Schanne & Daniel A. Griffith & Peter Nijkamp, 2009. "Persistence of Regional Unemployment: Application of a Spatial Filtering Approach to Local Labour Markets in Germany," Working Paper Series 49_09, The Rimini Centre for Economic Analysis, revised Nov 2011.
- Patuelli, Roberto & Schanne, Norbert & Griffith, Daniel A. & Nijkamp, Peter, 2011. "Persistence of regional unemployment : Application of a spatial filtering approach to local labour markets in Germany," IAB Discussion Paper 201103, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Roberto Patuelli & Norbert Schanne & Daniel A. Griffith & Peter Nijkamp, 2010. "Persistent Disparities in Regional Unemployment: Application of a Spatial Filtering Approach to Local Labour Markets in Germany," Quaderni della facoltÃ di Scienze economiche dell'UniversitÃ di Lugano 1001, USI Università della Svizzera italiana.
- Patuelli, R. & Schanne, N. & Griffith, D.A., 2010. "Persistent disparities in regional unemployment: Application of a spatial filtering approach to local labour markets in Germany," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- R. Patuelli & N. Schanne & D. A. Griffith & P. Nijkamp, 2011. "Persistence of Regional Unemployment: Application of a Spatial Filtering Approach to Local Labour Markets in Germany," Working Papers wp743, Dipartimento Scienze Economiche, Universita' di Bologna.
- Danny Czamanski & Henk Folmer, 2011. "Introduction: some new methods in regional science," The Annals of Regional Science, Springer, vol. 47(3), pages 493-497, December.
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