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Maximum likelihood estimation of spatially and serially correlated panels with random effects

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  • Millo, Giovanni

Abstract

An estimation framework and a user-friendly software implementation are described for maximum likelihood estimation of panel data models with random effects, a spatially lagged dependent variable and spatially and serially correlated errors. This specification extends static panel data models in the direction of serial error correlation, allowing richer modelling possibilities and more thorough diagnostic assessments. The estimation routines extend the functionalities of the splm package for spatial panel econometrics in the open source R system for statistical computing.

Suggested Citation

  • Millo, Giovanni, 2014. "Maximum likelihood estimation of spatially and serially correlated panels with random effects," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 914-933.
  • Handle: RePEc:eee:csdana:v:71:y:2014:i:c:p:914-933
    DOI: 10.1016/j.csda.2013.07.024
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    3. Yun, Seong Do & Gramig, Benjamin M & Delgado, Michael S. & Florax, Raymond J.G.M., 2015. "Does Spatial Correlation Matter in Econometric Models of Crop Yield Response and Weather?," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205465, Agricultural and Applied Economics Association.
    4. Bardaka, Eleni & Delgado, Michael S. & Florax, Raymond J.G.M., 2019. "A spatial multiple treatment/multiple outcome difference-in-differences model with an application to urban rail infrastructure and gentrification," Transportation Research Part A: Policy and Practice, Elsevier, vol. 121(C), pages 325-345.
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    8. Román Mínguez & María L. & Roberto Basile, 2016. "Spatio-Temporal Autoregressive Semiparametric Model for the analysis of regional economic data," Working Papers LuissLab 16126, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    9. Gianfranco Piras, 2014. "Impact estimates for static spatial panel data models in R," Letters in Spatial and Resource Sciences, Springer, vol. 7(3), pages 213-223, October.
    10. Gabriel Felbermayr & Jasmin Katrin Gröschl & Mark Sanders & Vincent Schippers & Thomas Steinwachs & Gabriel J. Felbermayr, 2018. "Shedding Light on the Spatial Diffusion of Disasters," CESifo Working Paper Series 7146, CESifo.
    11. Marton, Tibor, 2015. "Spatial Concentration of Milk Production in Norway: The Flow of Quotas," 150th Seminar, October 22-23, 2015, Edinburgh, Scotland 212657, European Association of Agricultural Economists.
    12. Thomas Steinwachs, 2019. "Eine Frage der Geographie: Räumliche Dimensionen von Handel, Migration und Wachstum," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 81.

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