Panel VAR Models with Spatial Dependence

Jan Mutl

No A5-2, 10th International Conference on Panel Data, Berlin, July 5-6, 2002 from International Conferences on Panel Data

Abstract: I consider a panel vector autoregressive (panel VAR) model with cross sectional dependence of the model disturbances that can be characterized by a first order spatial autoregressive process. I derive asymptotic properties of a constrained maximum likelihood estimator that uses a consistent estimate of the degree of the spatial autocorrelation to concentrate the likelihood function. The asymptotic properties are derived taking the time dimension of the panel as fixed and letting the cross-sectional dimension tend to infinity.

Date: 2002-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Working Paper: Panel VAR Models with Spatial Dependence (2009)
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