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Instrumental variable estimation of a spatial autoregressive panel model with random effects

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.
Year of publication:
2011
Authors: Baltagi, Badi H. ; Liu, Long
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 111.2011, 2, p. 135-137
Publisher: Elsevier
Keywords: Panel data Spatial model Two stage least squares Error components
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10009018777
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