Instrumental variable estimation of a spatial autoregressive panel model with random effects

Badi Baltagi and Long Liu

Economics Letters, 2011, vol. 111, issue 2, 135-137

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)
Date: 2011
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Citations: View citations in EconPapers (30)

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Related works:
Working Paper: Instrument Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:111:y:2011:i:2:p:135-137

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