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Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity

Citations

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Cited by:

  1. Clemens Possnig & Andreea Rotu{a}rescu & Kyungchul Song, 2022. "Estimating Dynamic Spillover Effects along Multiple Networks in a Linear Panel Model," Papers 2211.08995, arXiv.org.
  2. Michael Pollmann, 2020. "Causal Inference for Spatial Treatments," Papers 2011.00373, arXiv.org, revised Apr 2026.
  3. Kuersteiner, Guido M. & Prucha, Ingmar R. & Zeng, Ying, 2023. "Efficient peer effects estimators with group effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 2155-2194.
  4. Baltagi, Badi H. & Pirotte, Alain & Yang, Zhenlin, 2021. "Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models," Journal of Econometrics, Elsevier, vol. 224(2), pages 245-270.
  5. Emir Malikov & Shunan Zhao, 2023. "On the Estimation of Cross-Firm Productivity Spillovers with an Application to FDI," The Review of Economics and Statistics, MIT Press, vol. 105(5), pages 1207-1223, September.
  6. Gupta, Abhimanyu & Robinson, Peter M., 2018. "Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension," Journal of Econometrics, Elsevier, vol. 202(1), pages 92-107.
  7. Liu, Xiaodong & Prucha, Ingmar R., 2025. "On testing for spatial or social network dependence in panel data allowing for network variability," Journal of Econometrics, Elsevier, vol. 247(C).
  8. Kojevnikov, Denis & Marmer, Vadim & Song, Kyungchul, 2021. "Limit theorems for network dependent random variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 882-908.
  9. Camilla Mastromarco & Laura Serlenga & Yongcheol Shin, 2023. "Regional Productivity Network in the EU," CESifo Working Paper Series 10404, CESifo.
  10. Michele Costola & Matteo Iacopini & Casper Wichers, 2023. "Bayesian SAR model with stochastic volatility and multiple time-varying weights," Papers 2310.17473, arXiv.org.
  11. Halleck Vega, Solmaria & Elhorst, J. Paul, 2016. "A regional unemployment model simultaneously accounting for serial dynamics, spatial dependence and common factors," Regional Science and Urban Economics, Elsevier, vol. 60(C), pages 85-95.
  12. Bai, Jushan, 2024. "Likelihood approach to dynamic panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 240(1).
  13. Quint Wiersma & Siem Jan Koopman & Julia Schaumburg & Etienne Wijler, 2021. "Regularized estimation for panel time series models with dynamic factors and local cross-sectional dependence," Tinbergen Institute Discussion Papers 21-008/III, Tinbergen Institute, revised 10 Mar 2026.
  14. Francesco Giordano & Marcella Niglio & Maria Lucia Parrella, 2024. "Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(5), pages 771-799, September.
  15. Anatolyev, Stanislav & Sølvsten, Mikkel, 2023. "Testing many restrictions under heteroskedasticity," Journal of Econometrics, Elsevier, vol. 236(1).
  16. Victor Chernozhukov & Chen Huang & Weining Wang, 2026. "Uniform Inference on High-Dimensional Spatial Panel Networks," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 44(1), pages 348-359, January.
  17. Juodis, Artūras & Sarafidis, Vasilis, 2022. "An incidental parameters free inference approach for panels with common shocks," Journal of Econometrics, Elsevier, vol. 229(1), pages 19-54.
  18. Gupta, Abhimanyu & Kokas, Sotirios & Michaelides, Alexander & Minetti, Raoul, 2025. "Networks and information in credit markets," Journal of Corporate Finance, Elsevier, vol. 94(C).
  19. Füss, Roland & Ruf, Daniel, 2022. "Information precision and return co-movements in private commercial real estate markets," Journal of Banking & Finance, Elsevier, vol. 138(C).
  20. Tomohiro Ando & Tadao Hoshino, 2025. "Functional Network Autoregressive Models for Panel Data," Papers 2502.13431, arXiv.org, revised Feb 2026.
  21. Ratzanyel Rinc'on & Kyungchul Song, 2025. "Causal Inference with Groupwise Matching," Papers 2510.26106, arXiv.org, revised Mar 2026.
  22. Nicolas Debarsy & Julie Le Gallo, 2025. "Identification of Spatial Spillovers: Do's and Don'ts," Journal of Economic Surveys, Wiley Blackwell, vol. 39(5), pages 2152-2173, December.
  23. Jiankun Chen & Yanli Lin & Yang Yang, 2025. "Modeling and Estimating Two-Layer Network Interactions with Unknown Heteroskedasticity," Economics Discussion / Working Papers 25-03, The University of Western Australia, Department of Economics.
  24. Yang, Zixin & Song, Xiaojun & Yu, Jihai, 2025. "Estimation of spatial autoregressive panel data models with nonparametric endogenous effect," Journal of Econometrics, Elsevier, vol. 252(PA).
  25. Ge, Shuyi & Li, Shaoran & Linton, Oliver, 2023. "News-implied linkages and local dependency in the equity market," Journal of Econometrics, Elsevier, vol. 235(2), pages 779-815.
  26. Li, Xiuqing & Xiao, Liming, 2024. "The impact of urban green business environment on FDI quality and its driving mechanism: Evidence from China," World Development, Elsevier, vol. 175(C).
  27. Yuya Sasaki, 2025. "GMM and M Estimation under Network Dependence," Papers 2503.00290, arXiv.org, revised Mar 2026.
  28. Juodis, Arturas & Sarafidis, Vasilis, 2020. "Online Supplement to An Incidental Parameters Free Inference Approach for Panels with Common Shocks," MPRA Paper 104908, University Library of Munich, Germany.
  29. repec:hal:journl:hal-04549691 is not listed on IDEAS
  30. Jeong, Hanbat & Lee, Lung-fei, 2021. "Spatial dynamic game models for coevolution of intertemporal economic decision-making and spatial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
  31. Guido M. Kuersteiner & Ingmar R. Prucha, 2020. "Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity," Econometrica, Econometric Society, vol. 88(5), pages 2109-2146, September.
  32. Gupta, Abhimanyu, 2023. "Efficient closed-form estimation of large spatial autoregressions," Journal of Econometrics, Elsevier, vol. 232(1), pages 148-167.
  33. Liu, Xiaodong & Prucha, Ingmar R., 2018. "A robust test for network generated dependence," Journal of Econometrics, Elsevier, vol. 207(1), pages 92-113.
  34. Camilla Mastromarco & Léopold Simar, 2026. "Nonparametric spatial frontier models for productivity analysis: evidence from EU regions," Journal of Productivity Analysis, Springer, vol. 65(2), pages 1-21, June.
  35. Chen, Jia & Shin, Yongcheol & Zheng, Chaowen, 2022. "Estimation and inference in heterogeneous spatial panels with a multifactor error structure," Journal of Econometrics, Elsevier, vol. 229(1), pages 55-79.
  36. Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2018. "Generalized spatial autocorrelation in a panel-probit model with an application to exporting in China," Empirical Economics, Springer, vol. 55(1), pages 193-211, August.
  37. Higgins, Ayden & Martellosio, Federico, 2023. "Shrinkage estimation of network spillovers with factor structured errors," Journal of Econometrics, Elsevier, vol. 233(1), pages 66-87.
  38. Dai, Siqi & Hong, Yongmiao & Li, Haiqi & Zheng, Chaowen, 2025. "Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure," Journal of Econometrics, Elsevier, vol. 251(C).
  39. Guowei Cui & Vasilis Sarafidis & Takashi Yamagata, 2023. "IV estimation of spatial dynamic panels with interactive effects: large sample theory and an application on bank attitude towards risk," The Econometrics Journal, Royal Economic Society, vol. 26(2), pages 124-146.
  40. Jin Seo Cho & Matthew Greenwood‐Nimmo & Yongcheol Shin, 2023. "Recent developments of the autoregressive distributed lag modelling framework," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 7-32, February.
  41. 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.
  42. Costola, Michele & Iacopini, Matteo & Wichers, Casper, 2023. "Bayesian SAR model with stochastic volatility and multiple time-varying weights," SAFE Working Paper Series 407, Leibniz Institute for Financial Research SAFE.
  43. Abhimanyu Gupta & Xi Qu, 2021. "Consistent specification testing under spatial dependence," Papers 2101.10255, arXiv.org, revised Aug 2022.
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