A Space-Time Filter for Panel Data Models Containing Random Effects

42 Pages Posted: 18 Jun 2009

See all articles by Olivier Parent

Olivier Parent

University of Cincinnati - Department of Economics

James P. LeSage

Texas State University - McCoy College of Business Administration

Date Written: June 17, 2009

Abstract

A space-time filter structure is introduced that can be used to accommodate dependence across space and time in the error components of panel data models that contain random effects. This general specification encompasses several more specific space-time structures that have been used recently in the panel data literature. Markov Chain Monte Carlo methods are set forth for estimating the model which allow simple treatment of initial period observations as endogenous or exogenous. Performance of the approach is demonstrated using both Monte Carlo experiments and an applied illustration.

Keywords: Spatial error correlation, serial correlation, MCMC estimation

JEL Classification: C11, C21, C23, R11

Suggested Citation

Parent, Olivier and LeSage, James P., A Space-Time Filter for Panel Data Models Containing Random Effects (June 17, 2009). Available at SSRN: https://ssrn.com/abstract=1421387 or http://dx.doi.org/10.2139/ssrn.1421387

Olivier Parent (Contact Author)

University of Cincinnati - Department of Economics ( email )

Carl H. Lindner Hall 2925 Campus Green Drive
PO Box 0371
Cincinnati, OH 45221-0211
United States

James P. LeSage

Texas State University - McCoy College of Business Administration ( email )

Finanace and Economics Department
601 University Drive
San Marcos, TX 78666
United States
512-245-0256 (Phone)
512-245-3089 (Fax)

HOME PAGE: http://www.spatial-econometrics.com

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