Instrument Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects

Badi Baltagi and Long Liu (long.liu@utsa.edu)
Additional contact information
Long Liu: Department of Economics, College of Business, University of Texas at San Antonio, One UTSA Circle, TX 78249-0633

No 127, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: 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.

Keywords: Panel Data; Spatial Model; Two Stage Least Squares; Error Components. (search for similar items in EconPapers)
JEL-codes: C13 C21 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2011-01
New Economics Papers: this item is included in nep-ecm, nep-geo, nep-mic and nep-ure
References: Add references at CitEc
Citations: View citations in EconPapers (25)

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https://surface.syr.edu/cpr/164/ (application/pdf)

Related works:
Journal Article: Instrumental variable estimation of a spatial autoregressive panel model with random effects (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:127

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