The Mundlak spatial estimator

Badi Baltagi

Journal of Spatial Econometrics, 2023, vol. 4, issue 1, 1-8

Abstract: 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)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s43071-023-00037-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: 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:spr:jospat:v:4:y:2023:i:1:d:10.1007_s43071-023-00037-y

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/43071

DOI: 10.1007/s43071-023-00037-y

Access Statistics for this article

Journal of Spatial Econometrics is currently edited by Giuseppe Arbia, Lung Fei Lee and James LeSage

More articles in Journal of Spatial Econometrics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().