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Saddlepoint approximations for spatial panel data models
Jiang, Chaonan; La Vecchia, Davide; Ronchetti, Elvezio; … - 2019
spatial panel data model, with fixed effects, time-varying covariates, and spatially correlated errors. We introduce a new … spatial panel data model with fixed effects and T = 2, the saddlepoint approximation yields accuracy improvements over the …
Persistent link: https://www.econbiz.de/10012003171
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Instrumental Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects
Baltagi, Badi H. - 2011
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 …
Persistent link: https://www.econbiz.de/10013127387
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A time-space dynamic panel data model with spatial moving average errors
Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2018
This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel …
Persistent link: https://www.econbiz.de/10011872320
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Smoothed Spatial Maximum Score Estimation of Spatial Autoregressive Binary Choice Panel Models
Lei, Jinghua - 2013
This paper considers spatial autoregressive (SAR) binary choice models in the context of panel data with fixed effects …
Persistent link: https://www.econbiz.de/10014151984
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Distribution free estimation of spatial autoregressive binary choice panel data models
Arduini, Tiziano - 2016
panel data with fixed effects. The estimation procedure is based on the observational equivalence between distribution free …) heteroskedasticity and autocorrelation. Without imposing any parametric structure on the error terms, we consider the semiparametric …
Persistent link: https://www.econbiz.de/10011705647
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Estimation and inference for spatial models with heterogeneous coefficients : an application to U.S. house prices
Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2019
This paper considers the problem of identification, estimation and inference in the case of spatial panel data models …
Persistent link: https://www.econbiz.de/10011983664
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Estimation of higher-order spatial autoregressive panel data error component models
Badinger, Harald; Egger, Peter - 2009
This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …
Persistent link: https://www.econbiz.de/10003808637
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Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Kelejian, Harry H. (contributor);  … - 2008
One important goal of this study is to develop a methodology of inference for a widely used Cliff-Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while allowing for unknown heteroskedasticity in the innovations. We first...
Persistent link: https://www.econbiz.de/10003790570
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A spatial Cliff-ord-type model with heteroskedastic innovations : small and large sample results
Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - 2008
In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step...
Persistent link: https://www.econbiz.de/10003792846
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A Spatial Cliff-Ord-Type Model with Heteroskedastic Innovations : Small and Large Sample Results
Arraiz, Irani - 2008
In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step...
Persistent link: https://www.econbiz.de/10012768262