A Time-Space Dynamic Panel Data Model with Spatial Moving Average Errors

Badi Baltagi, Bernard Fingleton () and Alain Pirotte ()
Additional contact information
Alain Pirotte: University of Paris 2

No 11587, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel data model with Spatial Moving Average Random Effects (SMA-RE) structure of the disturbances. A dynamic spatial Generalized Moments (GM) estimator is proposed which combines the approaches proposed by Baltagi, Fingleton and Pirotte (2014) and Fingleton (2008). The main idea is to mix non-spatial and spatial instruments to obtain consistent estimates of the parameters. Then, a forecasting approach is proposed and a linear predictor is derived. Using Monte Carlo simulations, we compare the short-run and long-run effects and evaluate the predictive efficiencies of optimal and various suboptimal predictors using the Root Mean Square Error (RMSE) criterion. Last, our approach is illustrated by an application in geographical economics which studies the employment levels across 255 NUTS regions of the EU over the period 2001–2012, with the last two years reserved for prediction.

Keywords: prediction; moving average; direct and indirect effects; spatial autocorrelation; GM; within; OLS; dynamic; time-space; error components; spatial lag; panel data; simulations; rook contiguity; interregional trade (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2018-06
New Economics Papers: this item is included in nep-geo, nep-ore and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Published - published in: Regional Science and Urban Economics, 2019, 76, 13-31

Downloads: (external link)
https://docs.iza.org/dp11587.pdf (application/pdf)

Related works:
Journal Article: A time-space dynamic panel data model with spatial moving average errors (2019)
Working Paper: A time-space dynamic panel data model with spatial moving average errors (2019)
Working Paper: A Time-Space Dynamic Panel Data Model with Spatial Moving Average 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:iza:izadps:dp11587

Ordering information: This working paper can be ordered from
IZA, Margard Ody, P.O. Box 7240, D-53072 Bonn, Germany

Access Statistics for this paper

More papers in IZA Discussion Papers from Institute of Labor Economics (IZA) IZA, P.O. Box 7240, D-53072 Bonn, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Holger Hinte ().