Models for Dynamic Panels in Space and Time - an Application to Regional Unemployment in the EU
One of the central research questions in modelling space-time data is the right econometric model. At least three problems must be tackled: (i) The observations on each spatial unit might be correlated over time, (ii) The observations at each point in time might be correlated over space, and (iii) The omission of time-invariant and/or spatial-invariant background variables could bias the regression coefficients in a typical cross-section or time-series model. As we have no a priori reasons to believe that one problem is more important than another, this paper presents a general model that encompasses a wide series of simpler models frequently used in the time-series econometrics, spatial econometrics and panel data econometrics literature. A framework is developed to determine which model is the most likely candidate to study space-time data.
|Date of creation:||Aug 2005|
|Date of revision:|
|Contact details of provider:|| Postal: Welthandelsplatz 1, 1020 Vienna, Austria|
Web page: http://www.ersa.org
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- R Dunn, 1982. "Parameter Instability in Models of Local Unemployment Responses," Environment and Planning A, SAGE Publishing, vol. 14(1), pages 75-94, January.
- R Dunn, 1982. "Parameter instability in models of local unemployment responses," Environment and Planning A, Pion Ltd, London, vol. 14(1), pages 75-94, January.
- Jaakko Pehkonen & Hannu Tervo, 1998. "Persistence and Turnover in Regional Unemployment Disparities," Regional Studies, Taylor & Francis Journals, vol. 32(5), pages 445-458.
- A. P. Thirlwall, 1966. "Regional Unemployment As A Cyclical Phenomenon1," Scottish Journal of Political Economy, Scottish Economic Society, vol. 13(2), pages 205-219, 06.
- Fleisher, Belton M & Rhodes, George, 1976. "Unemployment and the Labor Force Participation of Married Men and Women: A Simultaneous Model," The Review of Economics and Statistics, MIT Press, vol. 58(4), pages 398-406, November.
- J. Paul Elhorst, 2003. "The Mystery of Regional Unemployment Differentials: Theoretical and Empirical Explanations," Journal of Economic Surveys, Wiley Blackwell, vol. 17(5), pages 709-748, December.
- Bhargava, Alok & Sargan, J D, 1983. "Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods," Econometrica, Econometric Society, vol. 51(6), pages 1635-59, November.
- Lee, Lung-Fei, 2002. "Consistency And Efficiency Of Least Squares Estimation For Mixed Regressive, Spatial Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 252-277, April.
- Olivier Jean Blanchard & Lawrence F. Katz, 1992. "Regional Evolutions," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 23(1), pages 1-76.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
- Pesaran, H.M., 2003.
"Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence,"
Cambridge Working Papers in Economics
0305, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran, 2003. "Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence," CESifo Working Paper Series 869, CESifo Group Munich.
- Hsiao, Cheng & Hashem Pesaran, M. & Kamil Tahmiscioglu, A., 2002.
"Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods,"
Journal of Econometrics,
Elsevier, vol. 109(1), pages 107-150, July.
- Hsaio, Cheng & Pesaran, M. Hashem & Tahmiscioglu, A. Kamil, 1998. "Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods," Cambridge Working Papers in Economics 9826, Faculty of Economics, University of Cambridge.
- Harry H. Kelejian & Ingmar R. Prucha, 1995.
"A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model,"
Electronic Working Papers
95-001, University of Maryland, Department of Economics, revised Mar 1997.
- Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
- Burridge, Peter & Gordon, Ian Richard, 1981. "Unemployment in the British Metropolitan Labour Areas," Oxford Economic Papers, Oxford University Press, vol. 33(2), pages 274-97, July.
- Ron Martin, 1997. "Regional Unemployment Disparities and their Dynamics," Regional Studies, Taylor & Francis Journals, vol. 31(3), pages 237-252.
When requesting a correction, please mention this item's handle: RePEc:wiw:wiwrsa:ersa05p81. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gunther Maier)
If references are entirely missing, you can add them using this form.