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Heterogeneous spatial dynamic panels with an application to US housing data

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  • Yong Bao
  • Xiaoyan Zhou

Abstract

This paper proposes two models that incorporate both heterogeneity and multiple sources of spatial correlation for dynamic panels. One uses convex combinations of them to form a single weight matrix. The second one includes explicitly different spatial weight matrices to form a higher order model. We use a Bayesian scheme for model estimation by deriving the full conditional distributions of heterogeneous parameters. Our Monte Carlo experiments demonstrate their finite-sample performance relative to a baseline model. In our empirical study we find the importance of including both geographical and non-geographical information in capturing correlations in real house price growth in the United States.

Suggested Citation

  • Yong Bao & Xiaoyan Zhou, 2023. "Heterogeneous spatial dynamic panels with an application to US housing data," Spatial Economic Analysis, Taylor & Francis Journals, vol. 18(2), pages 259-285, April.
    • Handle: RePEc:taf:specan:v:18:y:2023:i:2:p:259-285
    DOI: 10.1080/17421772.2022.2118363
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