This paper considers the problem of estimating a partially linear semiparametric fixed effects panel data model with possible endogeneity. Using the series method, we establish the root N normality result for the estimator of the parametric component, and we show that the unknown function can be...

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and spatial error components. We study the general case where spatial effects are incorporated via spatial errors terms and via a spatial lag dependent variable and where the...

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 et al. (2007). Our encompassing...

This paper considers the problem of estimation and forecasting in a panel data model with random individual effects and AR(p) remainder disturbances. It utilizes a simple exact transformation for the AR(p) time series process derived by Baltagi and Li (1994) and obtains the generalized least...

Baltagi and Li [Baltagi, B.H., Li, Q., 1992. A note on the estimation of simultaneous equations with error components. Econometric Theory 8, 113-119] showed that for estimating a single equation in a simultaneous panel data model, EC2SLS has more instruments than G2SLS. Although these extra...

Hausman [1978. Specification tests in econometrics. Econometrica 46, 1251-1271] showed that his specification test in panel data, which is based on the contrast between fixed effects (FE) and the random effects (RE) estimators, can also be obtained as a Wald test from an artificial OLS...