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Dynamic Panel Data Models with Spatial Correlation

Listed author(s):
  • Hujer Reinhard

    ()

    (Professor of Statistics and Econometrics at the J.W.Goethe-University of Frankfurt a.M. and Research Fellow of the IZA, Bonn and ZEW, Mannheim. Address: Fachbereich Wirtschaftswissenschaften, Goethe-Universität Frankfurt a.M., Mertonstraße 17, 60054 Frankfurt a.M., Germany)

  • Rodrigues Paulo J. M.

    ()

    (Research Assistant at the Chair of Derivatives and Financial Engineering, Fachbereich Wirtschaftswissenschaften, Goethe-Universität Frankfurt a.M., HoF, Grüneburgplatz 1, 60323 Frankfurt a.M., Germany)

  • Wolf Katja

    ()

    (Research Assistant at the Institute for Employment Research in Nürnberg. Institut für Arbeitsmarkt- und Berufsforschung (IAB), Regensburger Straße 104, 90478 Nürnberg, Germany)

Registered author(s):

    This paper presents an overview of recently developed estimation methods for dynamic panel data models with spatial correlation. We discuss the specification, the main assumptions and the implications of the model. The most important estimation strategy is the application of Generalized Method of Moments (GMM). The focus lies on the derivation of the moment conditions, the estimation of the degree of spatial correlation and the specification of the optimal weighting matrix. Finally we estimate an augmented matching function to analyze the effects of active labour market policy programs in Germany using two different weighting schemes.

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    Article provided by De Gruyter in its journal Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).

    Volume (Year): 228 (2008)
    Issue (Month): 5-6 (October)
    Pages: 612-629

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    Handle: RePEc:jns:jbstat:v:228:y:2008:i:5-6:p:612-629
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