IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Dynamic Panel Data Models with Spatial Correlation

  • Reinhard Hujer

    ()

  • Paulo J.M. Rodrigues

    ()

    (Goethe-Universität Frankfurt)

  • Katja Wolf

    ()

    (IAB Nürnberg)

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, themain assumptions and the implications of themodel. Themost important estimation strategy is the application ofGeneralized 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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.wiso-net.de/webcgi?START=A60&DOKV_DB=ZECO&DOKV_NO=JFNSJFNS2008090061213342310221812251&DOKV_HS=0&PP=1
    File Function: Main text
    Download Restriction: Access via GENIOS - German Business Information - http://www.genios.de/r_startseite/index.ein

    File URL: http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1038588&site=ehost-live
    File Function: Main text
    Download Restriction: Access via EBSCOhost Econlit - http://www.ebscohost.com/

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

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

    as
    in new window

    Handle: RePEc:jns:jbstat:v:228:y:2008:i:5-6:p:612-629
    Contact details of provider: Postal: Licher Straße 74, 35394 Gießen
    Phone: +49 (0)641 99 22 001
    Fax: +49 (0)641 99 22 009
    Web page: http://wiwi.uni-giessen.de/home/oekonometrie/Jahrbuecher/

    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. R Blundell & Steven Bond, . "Initial conditions and moment restrictions in dynamic panel data model," Economics Papers W14&104., Economics Group, Nuffield College, University of Oxford.
    2. Burda, Michael C. & Profit, Stefan, 1996. "Matching across space: Evidence on mobility in the Czech Republic," Labour Economics, Elsevier, vol. 3(3), pages 255-278, October.
    3. Hall, Alastair R., 2004. "Generalized Method of Moments," OUP Catalogue, Oxford University Press, number 9780198775201, March.
    4. Elhorst, J.P., 2000. "Dynamic models in space and time," Research Report 00C16, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    5. Calmfors, Lars & Skedinger, Per, 1995. "Does Active Labor Market Policy Increase Employment? Theoretical Considerations and Some Empirical Evidence from Sweden," Working Paper Series 429, Research Institute of Industrial Economics.
    6. Richard Blundell & Steve Bond & Frank Windmeijer, 2000. "Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator," IFS Working Papers W00/12, Institute for Fiscal Studies.
    7. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
    8. Beck, Thorsten & Levine, Ross & Loayza, Norman, 1999. "Finance and the sources of growth," Policy Research Working Paper Series 2057, The World Bank.
    9. Case, Anne C. & Rosen, Harvey S. & Hines, James Jr., 1993. "Budget spillovers and fiscal policy interdependence : Evidence from the states," Journal of Public Economics, Elsevier, vol. 52(3), pages 285-307, October.
    10. Badi H. Baltagi & Seuck Heun Song & Won Koh, 2002. "Testing Panel Data Regression Models with Spatial Error Correlation," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B6-4, International Conferences on Panel Data.
    11. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-95, November.
    12. Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, vol. 126(1), pages 25-51, May.
    13. 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.
    14. Okui, Ryo, 2011. "Instrumental variable estimation in the presence of many moment conditions," Journal of Econometrics, Elsevier, vol. 165(1), pages 70-86.
    15. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
    16. Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R., 2007. "Panel data models with spatially correlated error components," Journal of Econometrics, Elsevier, vol. 140(1), pages 97-130, September.
    17. Thiess Buettner, 1999. "The effect of unemployment, aggregate wages, and spatial contiguity on local wages: An investigation with German district level data," Papers in Regional Science, Springer, vol. 78(1), pages 47-67.
    18. Audretsch, David B & Feldman, Maryann P, 1996. "R&D Spillovers and the Geography of Innovation and Production," American Economic Review, American Economic Association, vol. 86(3), pages 630-40, June.
    19. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
    20. 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.
    21. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
    22. Islam, Nazrul, 1995. "Growth Empirics: A Panel Data Approach," The Quarterly Journal of Economics, MIT Press, vol. 110(4), pages 1127-70, November.
    23. Simon Burgess & Stefan Profit, 2001. "Externalities in the Matching of Workers and Firms in Britain," CEP Discussion Papers dp0490, Centre for Economic Performance, LSE.
    24. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
    25. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
    26. Badi H. Baltagi & Dong Li, 2006. "Prediction in the Panel Data Model with Spatial Correlation: The Case of Liquor," Center for Policy Research Working Papers 84, Center for Policy Research, Maxwell School, Syracuse University.
    27. 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.
    28. Mankiw, N Gregory & Romer, David & Weil, David N, 1992. "A Contribution to the Empirics of Economic Growth," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 407-37, May.
    29. 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.
    30. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 1-9, January.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:jns:jbstat:v:228:y:2008:i:5-6:p:612-629. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Winker)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.