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.