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Estimation of spatial panel data models with time varying spatial weights matrices

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  • Wang, Wei
  • Yu, Jihai

Abstract

This paper investigates the quasi-maximum likelihood (QML) estimation of spatial panel data models where spatial weights matrices can be time varying. We show that QML estimate is consistent and asymptotically normal. We also derive the asymptotic distribution of average impact coefficients (direct, indirect, total). Monte Carlo results are reported to investigate the finite sample properties of QML estimates and impact coefficients.

Suggested Citation

  • Wang, Wei & Yu, Jihai, 2015. "Estimation of spatial panel data models with time varying spatial weights matrices," Economics Letters, Elsevier, vol. 128(C), pages 95-99.
    • Handle: RePEc:eee:ecolet:v:128:y:2015:i:c:p:95-99
    DOI: 10.1016/j.econlet.2015.01.021
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    References listed on IDEAS

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    1. Lee, Lung-fei & Yu, Jihai, 2010. "Estimation of spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 154(2), pages 165-185, February.
    2. Nicolas DEBARSY (CERPE De Namur) & Cem ERTUR & James P. LeSAGE, 2010. "Interpreting Dynamic Space-Time Panel Data Models," LEO Working Papers / DR LEO 800, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    3. Kelejian, Harry H. & Prucha, Ingmar R., 2010. "Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances," Journal of Econometrics, Elsevier, vol. 157(1), pages 53-67, July.
    4. Baicker, Katherine, 2005. "The spillover effects of state spending," Journal of Public Economics, Elsevier, vol. 89(2-3), pages 529-544, February.
    5. Baltagi, Badi H. & Egger, Peter & Pfaffermayr, Michael, 2008. "Estimating regional trade agreement effects on FDI in an interdependent world," Journal of Econometrics, Elsevier, vol. 145(1-2), pages 194-208, July.
    6. Lung-fei Lee & Jihai Yu, 2012. "QML Estimation of Spatial Dynamic Panel Data Models with Time Varying Spatial Weights Matrices," Spatial Economic Analysis, Taylor & Francis Journals, vol. 7(1), pages 31-74, March.
    7. Case, Anne C. & Rosen, Harvey S. & Hines, James Jr., 1993. "Budget spillovers and fiscal policy interdependence : Evidence from the states," Journal of Public Economics, Elsevier, vol. 52(3), pages 285-307, October.
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    Cited by:

    1. Jianglong Chen & Jinlong Gao & Feng Yuan & Yehua Dennis Wei, 2016. "Spatial Determinants of Urban Land Expansion in Globalizing Nanjing, China," Sustainability, MDPI, vol. 8(9), pages 1-25, August.
    2. Edoardo Baldoni & Roberto Esposti, 2021. "Agricultural Productivity in Space: an Econometric Assessment Based on Farm‐Level Data," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(4), pages 1525-1544, August.
    3. Anna Gloria Billé & Leopoldo Catania, 2018. "Dynamic Spatial Autoregressive Models with Time-varying Spatial Weighting Matrices," BEMPS - Bozen Economics & Management Paper Series BEMPS55, Faculty of Economics and Management at the Free University of Bozen.
    4. Ho, Chun-Yu & Wang, Wei & Yu, Jihai, 2018. "International knowledge spillover through trade: A time-varying spatial panel data approach," Economics Letters, Elsevier, vol. 162(C), pages 30-33.
    5. Haiyong Zhang & Xinyu Wang, 2017. "Combined asymmetric spatial weights matrix with application to housing prices," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(13), pages 2337-2353, October.
    6. Aidara, Khadidiatou & Fall, Founty A. & Seck, Abdoulaye, 2019. "Is Africa an Economic Space?," Conference papers 333021, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    7. Guo, Juncong & Qu, Xi, 2020. "Fixed effects spatial panel data models with time-varying spatial dependence," Economics Letters, Elsevier, vol. 196(C).

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    More about this item

    Keywords

    Spatial autoregression; Panel data; Time varying spatial weights matrices; Fixed effects; Maximum likelihood; Impact analysis;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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