Dynamic panel estimation of a regional adjustment model with spatial-temporal robust covariance

Dayton Lambert

Letters in Spatial and Resource Sciences, 2020, vol. 13, issue 3, No 4, 245-265

Abstract: Abstract This paper extends the Arellano-Bond dynamic panel regression model’s covariance estimator to one robust to spatial autocovariance and heteroskedasticity. We apply Kelejian and Prucha’s semi-parametric procedure for estimating covariance matrices that accommodate spatial heteroskedastic autocovariance processes to augment the usual Arellano-Bond covariance estimator. The empirical application examines the jobs-to-people/people-to-jobs conundrum with Carlino and Mill’s regional adjustment model using employment and population data from 2001 to 2018 for Oklahoma’s 77 counties.

Keywords: Dynamic panel; Spatial-temporal covariance; Regional adjustment model; Instrumental variables (search for similar items in EconPapers)
JEL-codes: C4 C51 R12 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s12076-020-00257-y

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