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Estimating Individual Effects and their Spatial Spillovers in Linear Panel Data Models

Karen Miranda (), Oscar Martínez Ibáñez () and Miguel Manjon Antolin ()
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Karen Miranda: Universidad Autonoma Metropolitana - Cuajimalpa (UAM)
Oscar Martínez Ibáñez: Universidad Carlos III de Madrid [Madrid]

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Abstract: Individual-specific effects and their spatial spillovers are generally not identifed in linear panel data models. In this paper we present identification conditions under the assumption that covariates are correlated with the individual-specific effects. We also derive a Feasible Generalised Least Square estimator for the resulting Correlated Random Effects Spatial Panel Data Model. Lastly, we illustrate our results using the data and model specification employed by Millo and Carmeci (2011) in their study of the non-life insurance market in the Italian provinces.

Keywords: correlated random effects; spatial panel data (search for similar items in EconPapers)
Date: 2015-10-23
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Published in Jean Paelinck Seminar of Spatial Econometric, Oct 2015, Dijon, France.

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