Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation
AbstractSince there is so far no estimator that allows to estimate a dynamic panel model that includes a spatial lag as well as other potential endogenous variables. This paper wants to determine if it is suitable to instrument the spatial lag variable (which is by de�finition endogenous/simultaneous) using the instruments proposed by system GMM, i.e. lagged spatial lag values. The Monte Carlo investigation highlights the possibility to estimate a dynamic spatial lag model using the extended GMM proposed by Arellano and Bover (1995) and Blundell and Bover (1998), especially when N and T are large.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 11569.
Date of creation: Jul 2008
Date of revision: Nov 2008
Spatial Econometrics; Dynamic Panel Model; System GMM; Monte Carlo Simulations;
Other versions of this item:
- Kukenova, Madina & Monteiro, Jose-Antonio, 2008. "Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation," MPRA Paper 13405, University Library of Munich, Germany, revised Feb 2009.
- José-Antonio Monteiro & Madina Kukenova, 2009. "Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation," IRENE Working Papers 09-01, IRENE Institute of Economic Research.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- 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-2008-11-25 (All new papers)
- NEP-ECM-2008-11-25 (Econometrics)
- NEP-GEO-2008-11-25 (Economic Geography)
- NEP-URE-2008-11-25 (Urban & Real Estate Economics)
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