Instrumental variable estimation of a spatial autoregressive panel model with random effects
This paper extends the instrumental variable estimators of Kelejian and Prucha (1998) and Lee (2003) proposed for the cross-sectional spatial autoregressive model to the random effects spatial autoregressive panel data model. It also suggests an extension of the Baltagi (1981) error component 2SLS estimator to this spatial panel model.
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- Cornwell, Christopher & Schmidt, Peter & Wyhowski, Donald, 1992. "Simultaneous equations and panel data," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 151-181.
- Harry H. Kelejian & Ingmar R. Prucha, 1997.
"A Generalized Spatial Two Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances,"
Electronic Working Papers
97-002, University of Maryland, Department of Economics, revised Aug 1997.
- Kelejian, Harry H & Prucha, Ingmar R, 1998. "A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 99-121, July.
- Baltagi, Badi H. & Liu, Long, 2009.
"A note on the application of EC2SLS and EC3SLS estimators in panel data models,"
Statistics & Probability Letters,
Elsevier, vol. 79(20), pages 2189-2192, October.
- Badi H. Baltagi & Long Liu, 2009. "A Note on the Application of EC2SLS and EC3SLS Estimators in Panel Data Models," Center for Policy Research Working Papers 116, Center for Policy Research, Maxwell School, Syracuse University.
- Baltagi, Badi H., 1981. "Simultaneous equations with error components," Journal of Econometrics, Elsevier, vol. 17(2), pages 189-200, November.
- Lung-fei Lee, 2003. "Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 307-335.
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