Instrumental Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects

Syracuse University Center for Research Policy Working Paper No. 127

9 Pages Posted: 10 Apr 2011

See all articles by Badi H. Baltagi

Badi H. Baltagi

Syracuse University; CESifo (Center for Economic Studies and Ifo Institute); IZA Institute of Labor Economics; Syracuse University - Maxwell School of Citizenship and Public Affairs

Long Liu

Syracuse University - Department of Economics

Date Written: January 1, 2011

Abstract

This paper extends the instrumental variable estimators of Kelejian and Prucha (1998) and Lee (2003) proposed for the cross-sectional spatial autoregressive model to the random effects spatial autoregressive panel data model. It also suggests an extension of the Baltagi (1981) error component 2SLS estimator to this spatial panel model.

Keywords: Panel Data, Spatial Model, Two Stage Least Squares, Error Components

JEL Classification: C13, C21

Suggested Citation

Baltagi, Badi H. and Liu, Long, Instrumental Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects (January 1, 2011). Syracuse University Center for Research Policy Working Paper No. 127, Available at SSRN: https://ssrn.com/abstract=1805737 or http://dx.doi.org/10.2139/ssrn.1805737

Badi H. Baltagi (Contact Author)

Syracuse University ( email )

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HOME PAGE: http://https://pbaltagi.wix.com/badibaltagi

CESifo (Center for Economic Studies and Ifo Institute) ( email )

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IZA Institute of Labor Economics

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Syracuse University - Maxwell School of Citizenship and Public Affairs ( email )

400 Eggers Hall
Syracuse, NY 13244
United States

Long Liu

Syracuse University - Department of Economics ( email )

Syracuse, NY 13244-1020
United States

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