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Fixed Effects Estimation of Spatial Panel Model with Missing Responses: An Application to US State Tax Competition

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  • Xiaoyu Meng
  • Zhenlin Yang

Abstract

We consider estimation and inferences for general spatial panel data models with randomly missing observations on responses. It allows for unobserved spatiotemporal heterogeneity, time-varying endogenous and contextual spatial interactions, time-varying cross-sectional error dependence, and serial correlation. A general M-estimation method is proposed for model estimation and a novel corrected plug-in method is proposed for model inference. Both take into account the estimation of fixed effects. Asymptotic properties of the proposed methods are studied, and finite sample properties are investigated. An empirical application is given using U.S. state tax competition data. The proposed methods apply to matrix exponential spatial specification and can be further extended to include higher-order spatial effects.

Suggested Citation

  • Xiaoyu Meng & Zhenlin Yang, 2026. "Fixed Effects Estimation of Spatial Panel Model with Missing Responses: An Application to US State Tax Competition," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 44(2), pages 450-464, April.
    • Handle: RePEc:taf:jnlbes:v:44:y:2026:i:2:p:450-464
    DOI: 10.1080/07350015.2025.2539470
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