Panel data models with spatially correlated error components

Kapoor, M and Kelejian, H and Prucha, I R (2007) Panel data models with spatially correlated error components. Journal of Econometrics, 140 (1). pp. 97-130.

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Abstract

In this paper we consider a panel data model with error components that are both spatially and time-wise correlated. The model blends specifications typically considered in the spatial literature with those considered in the error components literature. We introduce generalizations of the generalized moments estimators suggested in Kelejian and Prucha (1999. A generalized moments estimator for the autoregressive parameter in a spatial model. International Economic Review 40, 509-533) for estimating the spatial autoregressive parameter and the variance components of the disturbance process. We then use those estimators to define a feasible generalized least squares procedure for the regression parameters. We give formal large sample results for the proposed estimators. We emphasize that our estimators remain computationally feasible even in large samples. © 2006 Elsevier B.V. All rights reserved.

ISB Creators:
ISB CreatorsORCiD
Kapoor, MUNSPECIFIED
Item Type: Article
Uncontrolled Keywords: Error component model; Panel data model; Spatial model
Subjects: Business and Management
Depositing User: Ilammaran A
Date Deposited: 06 Nov 2014 15:32
Last Modified: 06 Nov 2014 17:12
URI: http://eprints.exchange.isb.edu/id/eprint/207
Publisher URL: http://dx.doi.org./10.1016/j.jeconom.2006.09.004
Publisher OA policy: http://www.sherpa.ac.uk/romeo/issn/0304-4076/
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