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xsmle: a Stata command for spatial panel-data models estimation

Author

Listed:
  • Federico Belotti

    (CEIS, Università degli Studi di Roma "Tor Vergata")

  • Gordon Hughes

    (University of Edinburgh)

  • Andrea Piano Mortari

    (CEIS, Università degli Studi di Roma "Tor Vergata")

Abstract

This paper presents xsmle, a new Stata command for the estimation of spatial panel-data models. xsmle fits a spatial autoregressive model, a spatial error model, and a spatial Durbin model with fixed or random effects and with or without a dynamic component. Moreover, xsmle estimates the fixed-effects spatial autoregressive model with autoregressive disturbances and the generalized spatial random-effects model. Different weighting matrices may be specified when appropriate, and both Stata matrices and spmat objects are allowed. Of special note is that xsmle computes direct, indirect, and total effects according to Lesage (2008), implements Lee and Yu's (2010) data trasformation for fixed-effects models, performs a robust Hausman test, and may be used with the mi prefix when the panel is unbalanced.

Suggested Citation

  • Federico Belotti & Gordon Hughes & Andrea Piano Mortari, 2013. "xsmle: a Stata command for spatial panel-data models estimation," Italian Stata Users' Group Meetings 2013 04, Stata Users Group.
    • Handle: RePEc:boc:isug13:04
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    References listed on IDEAS

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    1. Yu, Jihai & de Jong, Robert & Lee, Lung-fei, 2008. "Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large," Journal of Econometrics, Elsevier, vol. 146(1), pages 118-134, September.
    2. Lee, Lung-Fei, 2002. "Consistency And Efficiency Of Least Squares Estimation For Mixed Regressive, Spatial Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 18(2), pages 252-277, April.
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