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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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