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Estimation of spatial autoregressive models for origin–destination flows: A partial likelihood approach

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  • Jeong, Hanbat
  • Lin, Yanli
  • Lee, Lung-fei

Abstract

We extend LeSage and Pace (2008)’s spatial autoregressive model for origin–destination flows by accommodating two-way fixed effects. A partial likelihood approach is used for estimation by applying an orthogonal transformation to remove fixed effects in the model. The quasi-maximum likelihood (QML) estimator of the partial log-likelihood function is consistent and asymptotically centered normal. Monte Carlo experiments verify this advantage in finite samples. From the U.S. migration flows, significant spatial influences are captured with smaller magnitudes than those from the model without fixed effects.

Suggested Citation

  • Jeong, Hanbat & Lin, Yanli & Lee, Lung-fei, 2023. "Estimation of spatial autoregressive models for origin–destination flows: A partial likelihood approach," Economics Letters, Elsevier, vol. 229(C).
    • Handle: RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002276
    DOI: 10.1016/j.econlet.2023.111202
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    References listed on IDEAS

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    1. Lung-Fei Lee, 2004. "Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models," Econometrica, Econometric Society, vol. 72(6), pages 1899-1925, November.
    2. James P. LeSage & R. Kelley Pace, 2008. "Spatial Econometric Modeling Of Origin‐Destination Flows," Journal of Regional Science, Wiley Blackwell, vol. 48(5), pages 941-967, December.
    3. Lee, Lung-fei & Yu, Jihai, 2010. "A Spatial Dynamic Panel Data Model With Both Time And Individual Fixed Effects," Econometric Theory, Cambridge University Press, vol. 26(2), pages 564-597, April.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Origin–destination flow; Spatial autoregressive; Fixed effects; Partial likelihood;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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