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A Semi‐parametric Panel Data Model with Common Factors and Spatial Dependence

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  • Alexandra Soberon
  • Antonio Musolesi
  • Juan M. Rodriguez‐Poo

Abstract

In the analysis of the Griliches' knowledge capital production function, previous works pointed out the relevance of incorporating slope heterogeneity in the technological parameters, cross‐sectional dependence arising simultaneously from common factors and spillovers, and possible nonlinear effects of relevant common observed variables. In order to solve the above problems, in this article we introduce a semi‐parametric model in a partially linear form that copes simultaneously with all the previous specification issues. The asymptotic properties of the resulting estimators are obtained and the theoretical findings are further supported for small samples via several Monte Carlo experiments and an empirical application.

Suggested Citation

  • Alexandra Soberon & Antonio Musolesi & Juan M. Rodriguez‐Poo, 2024. "A Semi‐parametric Panel Data Model with Common Factors and Spatial Dependence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 905-927, August.
    • Handle: RePEc:bla:obuest:v:86:y:2024:i:4:p:905-927
    DOI: 10.1111/obes.12609
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