Panel Data Models with Spatially Correlated Error Components
Mudit Kapoor, Harry H. Kelejian, and Ingmar Prucha
,
1
(
140
)
Journal of Econometrics
97-130
September
2007
JE140(2007a).pdf361.65 KB
Abstract
In this paper we consider a panel data model with error components that are both spatially and time-wise correlated. The model blends specifications typically considered in the spatial literature with those considered in the error components literature. We introduce generalizations of the generalized moments estimators suggested in Kelejian and Prucha (1999. A generalized moments estimator for the autoregressive parameter in a spatial model. International Economic Review 40, 509–533) for estimating the spatial autoregressive parameter and the variance components of the disturbance process.