The Mundlak Spatial Estimator

Badi Baltagi

No 258, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: The spatial Mundlak model first considered by Debarsy (2012) is an alternative to fixed effects and random effects estimation for spatial panel data models. Mundlak modelled the correlated random individual effects as a linear combination of the averaged regressors over time plus a random time-invariant error. This paper shows that if spatial correlation is present whether spatial lag or spatial error or both, the standard Mundlak result in panel data does not hold and random effects does not reduce to its fixed effects counterpart. However, using maximum likelihood one can still estimate these spatial Mundlak models and test the correlated random effects specification of Mundlak using Likelihood ratio tests as demonstrated by Debarsy for the Mundlak spatial Durbin model.

Keywords: Mundlak Regression; Panel Data; Fixed and Random Effects; Spatial error model; Spatial Durbin model (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2023-09
New Economics Papers: this item is included in nep-dcm, nep-ecm, nep-geo and nep-ure
References: Add references at CitEc
Citations:

Downloads: (external link)
https://surface.syr.edu/cpr/476/ (application/pdf)

Related works:
Journal Article: The Mundlak spatial estimator (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:258

Access Statistics for this paper

More papers in Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University 426 Eggers Hall, Syracuse, New York USA 13244-1020. Contact information at EDIRC.
Bibliographic data for series maintained by Katrina Fiacchi (kfiacchi@syr.edu).