Spatial Panel Data Models Using Stata
41 Pages Posted: 29 Mar 2016 Last revised: 28 Jul 2016
Date Written: March 25, 2016
xsmle is a new command for spatial analysis using Stata. We consider the quasi-maximum likelihood estimation of a wide set of both fixed- and random- effects spatial models for balanced panel data. Of special note is that xsmle allows to handle unbalanced panels thanks to its full compatibility with the mi suite of commands, to use spatial weight matrices in the form of both Stata matrices and spmat objects, to compute direct, indirect and total effects according to the procedure outlined in LeSage and Pace (2009), and to exploit a wide range of postestimation features, extending to the panel data case the predictors proposed by Kelejian and Prucha (2007). This paper describes the command and all its functionalities using both simulated and real data.
Keywords: st000, spatial analysis, panel data, maximum likelihood estimation.
JEL Classification: C23, C33, C87
Suggested Citation: Suggested Citation