Spatial Dynamic Panel Data Models with Random Effects

33 Pages Posted: 17 May 2010

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: September 16, 2009

Abstract

We develop a general space-time filter applied to panel data models in order to control for heterogeneity as well as both time and spatial dependence. Treatment of initial period observations is analyzed when the number of time periods is small. A second issue relates to an implied restriction on the space-time cross-product term that can greatly simplify the estimation procedures. An applied illustration of the method is provided using a Solow growth model. The application shows that the theoretical restriction implied for the cross-product term in our space-time filter specification is consistent with this particular dynamic space-time panel data set.

Keywords: Spatial Correlation, Dynamic Panels, Bayesian Estimation

JEL Classification: C11, C21, C23, O40

Suggested Citation

Parent, Olivier and LeSage, James P., Spatial Dynamic Panel Data Models with Random Effects (September 16, 2009). Available at SSRN: https://ssrn.com/abstract=1609748 or http://dx.doi.org/10.2139/ssrn.1609748

Olivier Parent

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 (Contact Author)

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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