A threshold extension of spatial dynamic panel model

Junyue Wua and Yasumasa Matsuda

No 98, DSSR Discussion Papers from Graduate School of Economics and Management, Tohoku University

Abstract: This paper proposes a threshold extension of Spatial Dynamic Panel Data (SDPD) model with fixed two-way effect to analyze data sets with spatial-temporal heterogeneity. We classify multiple regimes by a threshold variable to examine the regional dependency of parameters in SDPD models. A Bayesian estimation method along with a maximum likelihood one is put forward and compared by their Monte Carlo performance results. We find out that our Bayesian method yields more preferable estimation results, though at the expense of computation time. We also illustrate empirical applications of the threshold SDPD model to two spatial panel data set, US cigar demand data from 1963 to 1992 and Japan foreign labour data from 2008 to 2014, showing that meaningful regional dependencies of SDPD model parameters were detected.

Pages: 14 pages
Date: 2019-07
New Economics Papers: this item is included in nep-ecm and nep-geo
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http://hdl.handle.net/10097/00125675

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Persistent link: https://EconPapers.repec.org/RePEc:toh:dssraa:98

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