Instrument 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.

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Year of publication:	2011-01
Authors:	Baltagi, Badi H. ; Liu, Long
Institutions:	Center for Policy Research, Maxwell School
Subject:	Panel Data \| Spatial Model \| Two Stage Least Squares \| Error Components

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Extent:	application/pdf
Series:	Center for Policy Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 127 9 pages
Classification:	C13 - Estimation ; C21 - Cross-Sectional Models; Spatial Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008784802