Maximum likelihood estimation of spatially and serially correlated panels with random effects

Giovanni Millo

Computational Statistics & Data Analysis, 2014, vol. 71, issue C, 914-933

Abstract: An estimation framework and a user-friendly software implementation are described for maximum likelihood estimation of panel data models with random effects, a spatially lagged dependent variable and spatially and serially correlated errors. This specification extends static panel data models in the direction of serial error correlation, allowing richer modelling possibilities and more thorough diagnostic assessments. The estimation routines extend the functionalities of the splm package for spatial panel econometrics in the open source R system for statistical computing.

Keywords: Spatial panel; Maximum likelihood; Serial correlation; R (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:71:y:2014:i:c:p:914-933

DOI: 10.1016/j.csda.2013.07.024

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