Instrument Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects
AbstractThis paper extends the instrumental variable estimators of Kelejian and Prucha (1998) and Lee (2003) proposed for the cross-sectional spatial autoregressive model to the random effects spatial autoregressive panel data model. It also suggests an extension of the Baltagi (1981) error component 2SLS estimator to this spatial panel model.
Download InfoIf 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.
Bibliographic InfoPaper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 127.
Length: 9 pages
Date of creation: Jan 2011
Date of revision:
Contact details of provider:
Postal: 426 Eggers Hall, Syracuse, New York USA 13244-1020
Phone: (315) 443-3114
Fax: (315) 443-1081
Web page: http://www.maxwell.syr.edu/cpr.aspx
More information through EDIRC
Panel Data; Spatial Model; Two Stage Least Squares; Error Components.;
Other versions of this item:
- Baltagi, Badi H. & Liu, Long, 2011. "Instrumental variable estimation of a spatial autoregressive panel model with random effects," Economics Letters, Elsevier, vol. 111(2), pages 135-137, May.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-23 (All new papers)
- NEP-ECM-2011-01-23 (Econometrics)
- NEP-GEO-2011-01-23 (Economic Geography)
- NEP-MIC-2011-01-23 (Microeconomics)
- NEP-URE-2011-01-23 (Urban & Real Estate Economics)
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.:
- Badi H. Baltagi & Long Liu, 2009.
"A Note on the Application of EC2SLS and EC3SLS Estimators in Panel Data Models,"
Center for Policy Research Working Papers
116, Center for Policy Research, Maxwell School, Syracuse University.
- Baltagi, Badi H. & Liu, Long, 2009. "A note on the application of EC2SLS and EC3SLS estimators in panel data models," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2189-2192, October.
- 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.
- Cornwell, Christopher & Schmidt, Peter & Wyhowski, Donald, 1992. "Simultaneous equations and panel data," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 151-181.
- Lung-fei Lee, 2003. "Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 307-335.
- Baltagi, Badi H., 1981. "Simultaneous equations with error components," Journal of Econometrics, Elsevier, vol. 17(2), pages 189-200, November.
- Álvarez, Inmaculada & Barbero, Javier, 2013. "Knowledge Spillovers in Neoclassical Growth Model: an extension with Public Sector," Working Papers in Economic Theory 2013/07, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
- Kim, Kijin, 2013. "The Effects of the Clean Air Act on Local Industrial Wages," 6th Annual CRAE, April 5-6, 2013, Columbus, Ohio 147489, Midwest Graduate Student Conference on Regional and Applied Economics (CRAE), The Ohio State University, Department of Agricultural, Environmental and Development Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kelly Bogart) or (Katrina Wingle).
If references are entirely missing, you can add them using this form.