Fixed effects spatial panel data models with time-varying spatial dependence

Juncong Guo and Xi Qu

Economics Letters, 2020, vol. 196, issue C

Abstract: To analyze the temporal variation of spatial spillover effects as well as control unobserved individual-specific features, we extend the fixed effects spatial panel data model by introducing time-varying spatial dependence. We propose a two-stage least squares (2SLS) method and a quasi-maximum likelihood estimator (QMLE). Monte Carlo simulations indicate the two methods perform well.

Keywords: Time-varying spatial dependence; Spatial autoregressive; Fixed effects (search for similar items in EconPapers)
JEL-codes: C13 C23 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303220

DOI: 10.1016/j.econlet.2020.109531

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