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Estimating Individual Effects and their Spatial Spillovers in Linear Panel Data Models

Author

Listed:
  • Karen Miranda

    (Universidad Autonoma Metropolitana, Unidad Cuajimalpa)

  • Oscar Martínez Ibáñez

    (UC3M - Universidad Carlos III de Madrid [Madrid])

  • Miguel Manjón Antolín

    (CREIP - Centre de Recerca en Economia Industrial i Economia Pública - Universitat Rovira i Virgili)

Abstract

Individual-specific effects and their spatial spillovers are generally not identifed in linear panel data models. In this paper we present identification conditions under the assumption that covariates are correlated with the individual-specific effects. We also derive a Feasible Generalised Least Square estimator for the resulting Correlated Random Effects Spatial Panel Data Model. Lastly, we illustrate our results using the data and model specification employed by Millo and Carmeci (2011) in their study of the non-life insurance market in the Italian provinces.

Suggested Citation

  • Karen Miranda & Oscar Martínez Ibáñez & Miguel Manjón Antolín, 2015. "Estimating Individual Effects and their Spatial Spillovers in Linear Panel Data Models," Post-Print hal-01430809, HAL.
    • Handle: RePEc:hal:journl:hal-01430809
    as

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