A multidimensional spatial lag panel data model with spatial moving average nested random effects errors

Bernard Fingleton (), Julie Le Gallo and Alain Pirotte

Post-Print from HAL

Abstract: This paper focuses on a three-dimensional model that combines two different types of spatial interaction effects, i.e. endogenous interaction effects via a spatial lag on the dependent variable and interaction effects among the disturbances via a spatial moving average (SMA) nested random effects errors. A three-stage procedure is proposed to estimate the parameters. In a first stage, the spatial lag panel data model is estimated using an instrumental variable (IV) estimator. In a second stage, a generalized moments (GM) approach is developed to estimate the SMA parameter and the variance components of the disturbance process using IV residuals from the first stage. In a third stage, to purge the equation of the specific structure of the disturbances a Cochrane–Orcutt-type transformation is applied combined with the IV principle. This leads to the GM spatial IV estimator and the regression parameter estimates. Monte Carlo simulations show that our estimators are not very different in terms of root mean square error from those produced by maximum likelihood. The approach is applied to European Union regional employment data for regions nested within countries.

Keywords: Multidimensional; Spatial moving average nested random effects; Generalized moments; Instrumental variables; Maximum likelihood; Panel data (search for similar items in EconPapers)
Date: 2018-08
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Published in Empirical Economics, 2018, 55 (1), pp.113 - 146. ⟨10.1007/s00181-017-1410-7⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: A multidimensional spatial lag panel data model with spatial moving average nested random effects errors (2018)
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:hal:journl:hal-01868535

DOI: 10.1007/s00181-017-1410-7

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().