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A Spatial Dynamic Panel Model with Random Effects Applied to Commuting Times

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  • Olivier Parent
  • James P. Lesage

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Abstract

A space-time filter is set forth for spatial panel data situations that include random effects. We propose a general spatial dynamic specification that encompasses several spatiotemporal models previously used in the panel data literature. We apply the model to the case of highway induced travel demand. The theory of induced travel demand asserts that increased highway capacity will induce growth in traffic for a number of reasons. Our model allows us to quantify the spatial spillover impacts of increased highway capacity at one location in the network on travel times in neighboring locations and in future time periods.

Suggested Citation

  • Olivier Parent & James P. Lesage, 2010. "A Spatial Dynamic Panel Model with Random Effects Applied to Commuting Times," University of Cincinnati, Economics Working Papers Series 2010-01, University of Cincinnati, Department of Economics.
  • Handle: RePEc:cin:ucecwp:2010-01
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    References listed on IDEAS

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    1. Koop,Gary & Poirier,Dale J. & Tobias,Justin L., 2007. "Bayesian Econometric Methods," Cambridge Books, Cambridge University Press, number 9780521671736, December.
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    6. Su, Liangjun & Yang, Zhenlin, 2015. "QML estimation of dynamic panel data models with spatial errors," Journal of Econometrics, Elsevier, vol. 185(1), pages 230-258.
    7. Shirley, Chad & Winston, Clifford, 2004. "Firm inventory behavior and the returns from highway infrastructure investments," Journal of Urban Economics, Elsevier, vol. 55(2), pages 398-415, March.
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    10. repec:spr:stemec:978-3-7908-2070-6 is not listed on IDEAS
    11. Parent, Olivier & LeSage, James P., 2012. "Spatial dynamic panel data models with random effects," Regional Science and Urban Economics, Elsevier, vol. 42(4), pages 727-738.
    12. Baltagi, Badi H. & Heun Song, Seuck & Cheol Jung, Byoung & Koh, Won, 2007. "Testing for serial correlation, spatial autocorrelation and random effects using panel data," Journal of Econometrics, Elsevier, vol. 140(1), pages 5-51, September.
    13. Garrido, Rodrigo A., 2000. "Spatial interaction between the truck flows through the Mexico-Texas border," Transportation Research Part A: Policy and Practice, Elsevier, vol. 34(1), pages 23-33, January.
    14. J. Barkley Rosser, 2009. "Introduction," Chapters,in: Handbook of Research on Complexity, chapter 1 Edward Elgar Publishing.
    15. Van Ommeren, Jos & Fosgerau, Mogens, 2009. "Workers' marginal costs of commuting," Journal of Urban Economics, Elsevier, vol. 65(1), pages 38-47, January.
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    Cited by:

    1. repec:rri:wpaper:201303 is not listed on IDEAS
    2. Harry H. Kelejian & Gianfranco Piras, 2016. "A J test for dynamic panel model with fixed effects, and nonparametric spatial and time dependence," Empirical Economics, Springer, pages 1581-1605.
    3. Jean Dubé & Diègo Legros, 2013. "Dealing with spatial data pooled over time in statistical models," Letters in Spatial and Resource Sciences, Springer, pages 1-18.
    4. LeSage, James P., 2011. "Discussion: Applications and Innovations in Spatial Econometrics," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 43(03), August.
    5. Agnese Vitali & Arnstein Aassve & Trude Lappegård, 2015. "Diffusion of Childbearing Within Cohabitation," Demography, Springer;Population Association of America (PAA), vol. 52(2), pages 355-377, April.
    6. Kripfganz, Sebastian, 2014. "Unconditional Transformed Likelihood Estimation of Time-Space Dynamic Panel Data Models," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100604, Verein für Socialpolitik / German Economic Association.
    7. Harry Kelejian, 2014. "Omitted factors and spatial lags in the dependent variable," Letters in Spatial and Resource Sciences, Springer, pages 23-33.
    8. Parent, Olivier & LeSage, James P., 2011. "A space-time filter for panel data models containing random effects," Computational Statistics & Data Analysis, Elsevier, pages 475-490.
    9. Dapeng Zhang & Xiaokun Wang, 2016. "Investigating the Dynamic Spillover Effects of Low-Cost Airlines on Airport Airfare Through Spatio-Temporal Regression Models," Networks and Spatial Economics, Springer, vol. 16(3), pages 821-836, September.
    10. Harry H. Kelejian & Gianfranco Piras, 2013. "A J-Test for Panel Models with Fixed Effects, Spatial and Time," Working Papers Working Paper 2013-03, Regional Research Institute, West Virginia University.
    11. J. Elhorst, 2012. "Dynamic spatial panels: models, methods, and inferences," Journal of Geographical Systems, Springer, vol. 14(1), pages 5-28, January.
    12. Hans Dewachter & Romain Houssa & Priscilla Toffano, 2012. "Spatial propagation of macroeconomic shocks in Europe," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), pages 377-402.
    13. Parent, Olivier & LeSage, James P., 2012. "Spatial dynamic panel data models with random effects," Regional Science and Urban Economics, Elsevier, vol. 42(4), pages 727-738.
    14. Breidenbach, Philipp & Mitze, Timo & Schmidt, Christoph M, 2016. "EU Structural Funds and Regional Income Convergence - A Sobering Experience," CEPR Discussion Papers 11210, C.E.P.R. Discussion Papers.
    15. Carlo Ciccarelli & Jean Paul Elhorst, 2016. "A Spatial Diffusion Model with Common Factors and an Application to Cigarette Consumption," CEIS Research Paper 381, Tor Vergata University, CEIS, revised 31 May 2016.
    16. Elhorst, J. Paul & Lacombe, Donald J. & Piras, Gianfranco, 2012. "On model specification and parameter space definitions in higher order spatial econometric models," Regional Science and Urban Economics, Elsevier, vol. 42(1-2), pages 211-220.
    17. repec:elg:eechap:14395_1 is not listed on IDEAS
    18. James LeSage & Matthew Dominguez, 2012. "The importance of modeling spatial spillovers in public choice analysis," Public Choice, Springer, vol. 150(3), pages 525-545, March.
    19. Viego, Valentina N. & Temporelli , Karina L., 2011. "Sobrepeso y obesidad en Argentina. Un análisis basado en técnicas de econometría espacial/Overweigh and Obesity in Argentina. A Spatial Approach," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 915(26á)-91, Diciembre.
    20. Dubé, Jean & Legros, Diègo & Thériault, Marius & Des Rosiers, François, 2014. "A spatial Difference-in-Differences estimator to evaluate the effect of change in public mass transit systems on house prices," Transportation Research Part B: Methodological, Elsevier, pages 24-40.
    21. Parent, Olivier & LeSage, James P., 2011. "A space-time filter for panel data models containing random effects," Computational Statistics & Data Analysis, Elsevier, pages 475-490.
    22. Viego, Valentina & Temporelli, Karina, 2010. "Econometría espacial: una aplicación a los problemas de sobrepeso y obesidad en las provincias de Argentina
      [Spatial econometrics: an application to obesity indicators in Argentinian provinces]
      ," MPRA Paper 26878, University Library of Munich, Germany.
    23. Baylis, Katherine R. & Paulson, Nicholas D. & Piras, Gianfranco, 2011. "Spatial Approaches to Panel Data in Agricultural Economics: A Climate Change Application," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 43(03), August.
    24. repec:eee:regeco:v:65:y:2017:i:c:p:65-88 is not listed on IDEAS

    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes

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