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Simultaneous Spatial Panel Data Models with Common Shocks

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Abstract

I consider a simultaneous spatial panel data model, jointly modeling three effects: simultaneous effects, spatial effects and common shock effects. This joint modeling and consideration of cross-sectional heteroskedasticity result in a large number of incidental parameters. I propose two estimation approaches, a quasi-maximum likelihood (QML) method and an iterative generalized principal components (IGPC) method. I develop full inferential theories for the estimation approaches and study the trade-off between the model specifications and their respective asymptotic properties. I further investigate the finite sample performance of both methods using Monte Carlo simulations. I find that both methods perform well and that the simulation results corroborate the inferential theories. Some extensions of the model are considered. Finally, I apply the model to analyze the relationship between trade and GDP using a panel data over time and across countries.

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  • Lina Lu, 2017. "Simultaneous Spatial Panel Data Models with Common Shocks," Supervisory Research and Analysis Working Papers RPA 17-3, Federal Reserve Bank of Boston.
    • Handle: RePEc:fip:fedbqu:rpa17-3
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    More about this item

    Keywords

    Panel data model; spatial models; Simultaneous equations system; Common shocks; Simultaneous effects; Incidental parameters; Maximum likelihood estimation; Principal components; High dimensionality; Inferential theory;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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