Estimation of Spatial Panel Data Models Using a Minimum Distance Estimator: Application
This paper is concerned with modelling and estimating panel data autoregressive spatial processes in the framework of minimum distance methods. A contiguity matrix based on distance between points relates observations spatially. The model is estimated in two stages. First, the cross-section parameters are consistently estimated by maximum likelihood, and a consistent asymptotic covariance matrix is computed for the second stage. Minimum distance estimators are derived under fixed slopes and all identical parameters restrictions. We used this specification to examine empirically spatial patterns of residential water demand for the French department of "Moselle", including electricity price effects.
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- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Lars Gårn Hansen, 1996. "Water and Energy Price Impacts on Residential Water Demand in Copenhagen," Land Economics, University of Wisconsin Press, vol. 72(1), pages 66-79.
- Kathleen P. Bell & Nancy E. Bockstael, 2000. "Applying the Generalized-Moments Estimation Approach to Spatial Problems Involving Microlevel Data," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 72-82, February.
- Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-965, July.
- Kodde, D A & Palm, Franz C & Pfann, G A, 1990. "Asymptotic Least-Squares Estimation Efficiency Considerations and Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(3), pages 229-243, July-Sept.
- James P. Ziliak & Beth A. Wilson & Joe A. Stone, 1999. "Spatial Dynamics And Heterogeneity In The Cyclicality Of Real Wages," The Review of Economics and Statistics, MIT Press, vol. 81(2), pages 227-236, May.
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