A space-time filter for panel data models containing random effects

Olivier Parent and James LeSage

University of Cincinnati, Economics Working Papers Series from University of Cincinnati, Department of Economics

Abstract: A space-time filter structure is introduced that can be used to accommodate dependence across space and time in the error components of panel data models that contain random effects. This general specification encompasses several more specific space-time structures that have been used recently in the panel data literature. Markov Chain Monte Carlo methods are set forth for estimating the model which allow simple treatment of initial period observations as endogenous or exogenous. Performance of the approach is demonstrated using both Monte Carlo experiments and an applied illustration.

Pages: 42 pages
Date: 2009
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://www.artsci.uc.edu/collegedepts/economics/research/docs/Wppdf/2009-04.pdf (application/pdf)

Related works:
Journal Article: A space-time filter for panel data models containing random effects (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:cin:ucecwp:2009-04

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