Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation

Madina Kukenova and Jose-Antonio Monteiro

MPRA Paper from University Library of Munich, Germany

Abstract: Since there is so far no estimator that allows to estimate a dynamic panel model that includes a spatial lag as well as other potential endogenous variables. This paper wants to determine if it is suitable to instrument the spatial lag variable (which is by de�finition endogenous/simultaneous) using the instruments proposed by system GMM, i.e. lagged spatial lag values. The Monte Carlo investigation highlights the possibility to estimate a dynamic spatial lag model using the extended GMM proposed by Arellano and Bover (1995) and Blundell and Bover (1998), especially when N and T are large.

Keywords: Spatial Econometrics; Dynamic Panel Model; System GMM; Monte Carlo Simulations (search for similar items in EconPapers)
JEL-codes: C15 C33 (search for similar items in EconPapers)
Date: 2008-07, Revised 2008-11
New Economics Papers: this item is included in nep-ecm, nep-geo and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (63)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/11569/1/MPRA_paper_11569.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/14319/2/MPRA_paper_14319.pdf revised version (application/pdf)

Related works:
Working Paper: Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation (2009)
Working Paper: Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation (2009)
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:pra:mprapa:11569

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().