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Spatial panel data models with structural change

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  • Li, Kunpeng

Abstract

Spatial panel data models are widely used in empirical studies. The existing theories of spatial models so far have largely confine the analysis under the assumption of parameters stabilities. This is unduely restrictive, since a large number of studies have well documented the presence of structural changes in the relationship of economic variables. This paper proposes and studies spatial panel data models with structural change. We consider using the quasi maximum likelihood method to estimate the model. Static and dynamic models are both considered. Large-$T$ and fixed-$T$ setups are both considered. We provide a relatively complete asymptotic theory for the maximum likelihood estimators, including consistency, convergence rates and limiting distributions of the regression coefficients, the timing of structural change and variance of errors. We study the hypothesis testing for the presence of structural change. The three super-type statistics are proposed. The Monte Carlo simulation results are consistent with our theoretical results and show that the maximum likelihood estimators have good finite sample performance.

Suggested Citation

  • Li, Kunpeng, 2018. "Spatial panel data models with structural change," MPRA Paper 85388, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:85388
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    References listed on IDEAS

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    Cited by:

    1. Xu, Yuhong & Yang, Zhenlin, 2020. "Specification Tests for Temporal Heterogeneity in Spatial Panel Data Models with Fixed Effects," Regional Science and Urban Economics, Elsevier, vol. 81(C).
    2. Li, Liyao & Yang, Zhenlin, 2020. "Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity," Regional Science and Urban Economics, Elsevier, vol. 81(C).
    3. Li, Kunpeng, 2022. "Threshold spatial autoregressive model," MPRA Paper 113568, University Library of Munich, Germany.

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    More about this item

    Keywords

    Spatial panel data models; structural changes; hypothesis testing; asymptotic theory.;
    All these keywords.

    JEL classification:

    • 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

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