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Estimating individual effects and their spatial spillovers in linear panel data models: Public capital spillovers after all?

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  • Miranda, Karen
  • Martínez Ibáñez, Oscar
  • Manjón Antolín, Miguel C.

Abstract

Individual-specific effects and their spatial spillovers are not generally identified in linear panel data models. In this paper we present identification conditions under the assumption that covariates are correlated with the individual-specific effects and derive appropriate GLS and IV estimators for the resulting correlated random effects spatial panel data model. We also illustrate the proposed estimators using a Cobb-Douglas production function specification and US state-level data from Munnell (1990). As in previous studies, we find no evidence of public capital spillovers. However, public capital does play a role in the positive "outwards" spatial contagion of the individual effects. Keywords: correlated random effects, spatial spillovers, panel data. JEL Classification: C23, R11

Suggested Citation

  • Miranda, Karen & Martínez Ibáñez, Oscar & Manjón Antolín, Miguel C., 2016. "Estimating individual effects and their spatial spillovers in linear panel data models: Public capital spillovers after all?," Working Papers 2072/321479, Universitat Rovira i Virgili, Department of Economics.
  • Handle: RePEc:urv:wpaper:2072/321479
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    References listed on IDEAS

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    1. Alfredo M. Pereira & Jorge M. Andraz, 2013. "On The Economic Effects Of Public Infrastructure Investment: A Survey Of The International Evidence," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(4), pages 1-37, December.
    2. Hausman, Jerry A & Taylor, William E, 1981. "Panel Data and Unobservable Individual Effects," Econometrica, Econometric Society, vol. 49(6), pages 1377-1398, November.
    3. Nicolas Debarsy, 2012. "The Mundlak Approach in the Spatial Durbin Panel Data Model," Spatial Economic Analysis, Taylor & Francis Journals, vol. 7(1), pages 109-131, March.
    4. LeSage, James P. & Chih, Yao-Yu, 2016. "Interpreting heterogeneous coefficient spatial autoregressive panel models," Economics Letters, Elsevier, vol. 142(C), pages 1-5.
    5. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
    6. Brian Sloboda & Vincent Yao, 2008. "Interstate spillovers of private capital and public spending," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 42(3), pages 505-518, September.
    7. Christian Beer & Aleksandra Riedl, 2012. "Modelling spatial externalities in panel data: The Spatial Durbin model revisited," Papers in Regional Science, Wiley Blackwell, vol. 91(2), pages 299-318, June.
    8. Lung‐fei Lee & Jihai Yu, 2016. "Identification of Spatial Durbin Panel Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 133-162, January.
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    10. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 26-29, January.
    11. Garcia-Mila, Teresa & McGuire, Therese J & Porter, Robert H, 1996. "The Effect of Public Capital in State-Level Production Functions Reconsidered," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 177-180, February.
    12. Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R., 2007. "Panel data models with spatially correlated error components," Journal of Econometrics, Elsevier, vol. 140(1), pages 97-130, September.
    13. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 1-9, January.
    14. Baltagi, Badi H & Pinnoi, Nat, 1995. "Public Capital Stock and State Productivity Growth: Further Evidence from an Error Components Model," Empirical Economics, Springer, vol. 20(2), pages 351-359.
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    More about this item

    Keywords

    Anàlisi de dades de panel; Economia regional; Estats Units d' Amèrica;

    JEL classification:

    • 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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