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Models for Dynamic Panels in Space and Time - an Application to Regional Unemployment in the EU

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  • J.Paul Elhorst

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Abstract

One of the central research questions in modelling space-time data is the right econometric model. At least three problems must be tackled: (i) The observations on each spatial unit might be correlated over time, (ii) The observations at each point in time might be correlated over space, and (iii) The omission of time-invariant and/or spatial-invariant background variables could bias the regression coefficients in a typical cross-section or time-series model. As we have no a priori reasons to believe that one problem is more important than another, this paper presents a general model that encompasses a wide series of simpler models frequently used in the time-series econometrics, spatial econometrics and panel data econometrics literature. A framework is developed to determine which model is the most likely candidate to study space-time data.

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Bibliographic Info

Paper provided by European Regional Science Association in its series ERSA conference papers with number ersa05p81.

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Date of creation: Aug 2005
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Handle: RePEc:wiw:wiwrsa:ersa05p81

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  1. Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
  2. Elhorst, J.P., 2000. "Dynamic models in space and time," Research Report 00C16, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  3. M. Hashem Pesaran, 2003. "Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence," CESifo Working Paper Series 869, CESifo Group Munich.
  4. Fleisher, Belton M & Rhodes, George, 1976. "Unemployment and the Labor Force Participation of Married Men and Women: A Simultaneous Model," The Review of Economics and Statistics, MIT Press, vol. 58(4), pages 398-406, November.
  5. Hsaio, Cheng & Pesaran, M. Hashem & Tahmiscioglu, A. Kamil, 1998. "Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods," Cambridge Working Papers in Economics 9826, Faculty of Economics, University of Cambridge.
  6. J. Paul Elhorst, 2003. "The Mystery of Regional Unemployment Differentials: Theoretical and Empirical Explanations," Journal of Economic Surveys, Wiley Blackwell, vol. 17(5), pages 709-748, December.
  7. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
  8. Ron Martin, 1997. "Regional Unemployment Disparities and their Dynamics," Regional Studies, Taylor & Francis Journals, vol. 31(3), pages 237-252.
  9. Olivier Jean Blanchard & Lawrence F. Katz, 1992. "Regional Evolutions," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 23(1), pages 1-76.
  10. Bhargava, Alok & Sargan, J D, 1983. "Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods," Econometrica, Econometric Society, vol. 51(6), pages 1635-59, November.
  11. Jaakko Pehkonen & Hannu Tervo, 1998. "Persistence and Turnover in Regional Unemployment Disparities," Regional Studies, Taylor & Francis Journals, vol. 32(5), pages 445-458.
  12. Burridge, Peter & Gordon, Ian Richard, 1981. "Unemployment in the British Metropolitan Labour Areas," Oxford Economic Papers, Oxford University Press, vol. 33(2), pages 274-97, July.
  13. R Dunn, 1982. "Parameter instability in models of local unemployment responses," Environment and Planning A, Pion Ltd, London, vol. 14(1), pages 75-94, January.
  14. Lee, Lung-Fei, 2002. "Consistency And Efficiency Of Least Squares Estimation For Mixed Regressive, Spatial Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 252-277, April.
  15. A. P. Thirlwall, 1966. "Regional Unemployment As A Cyclical Phenomenon1," Scottish Journal of Political Economy, Scottish Economic Society, vol. 13(2), pages 205-219, 06.
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Cited by:
  1. Mark V. JANIKAS & Sergio J. REY, 2008. "On The Relationships Between Spatial Clustering, Inequality, And Economic Growth In The United States : 1969-2000," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 27, pages 13-34.
  2. Zoltan Acs & Lawrence A. Plummer & Ryan Sutter, 2007. "Penetrating the Knowledge Filter in the Rust Belt," Jena Economic Research Papers 2007-058, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.

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