Cover Image

A Generalized Spatial Panel Data Model with Random Effects

This paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin’s (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our encompassing specification allows us to test for these models as restricted specifications. In particular, we derive three LM and LR tests that restrict our generalized model to obtain the Anselin model, the Kapoor, Kelejian, and Prucha model, and the simple random effects model that ignores the spatial correlation in the residuals. For two of these three tests, we obtain closed form solutions and we derive their large sample distributions. Our Monte Carlo results show that the suggested tests are powerful in testing for these restricted specifications even in small and medium sized samples
Year of publication:
[2021]
Authors: Baltagi, Badi H. ; Egger, Peter ; Pfaffermayr, Michael
Publisher: [S.l.] : SSRN
Subject: Panel | Panel study | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Regionalökonomik | Regional economics
Extent:
1 Online-Ressource (70 p)
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 13, 2012 erstellt
Other identifiers:
10.2139/ssrn.2145816 [DOI]
Classification: C23 - Models with Panel Data ; C12 - Hypothesis Testing
Source:
ECONIS - Online Catalogue of the ZBW
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013315861
Similar items by subject
Similar items by person