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Identification and estimation of spatial dynamic panel simultaneous equations models

Author

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  • Yang, Kai
  • Lee, Lung-fei

Abstract

This paper investigates the identification and estimation of spatial dynamic panel simultaneous equations models with simultaneous effects, spatial effects, and time lagged effects. The model in this paper explicitly models interactions among different economic variables with simultaneous effects. Spatial interactions are presented by spatial weight matrices and, in addition to dynamics in space and time, we allow both individual and time fixed effects. For estimation, we study asymptotic properties of quasi-maximum likelihood estimators with large spatial units n and time periods T and IV-based estimators with large or small T. Finite sample properties of these estimators are studied using Monte Carlo experiments.

Suggested Citation

  • Yang, Kai & Lee, Lung-fei, 2019. "Identification and estimation of spatial dynamic panel simultaneous equations models," Regional Science and Urban Economics, Elsevier, vol. 76(C), pages 32-46.
    • Handle: RePEc:eee:regeco:v:76:y:2019:i:c:p:32-46
    DOI: 10.1016/j.regsciurbeco.2018.07.010
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    Citations

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    Cited by:

    1. Peter H. Egger & Ingmar R. Prucha, 2023. "Refined GMM estimators for simultaneous equations models with network interactions," Empirical Economics, Springer, vol. 64(6), pages 2535-2542, June.
    2. Jun Zhang & Shenghao Zhao & Chaonan Peng & Xianming Gong, 2022. "Spatial Heterogeneity of the Recovery of Road Traffic Volume from the Impact of COVID-19: Evidence from China," Sustainability, MDPI, vol. 14(21), pages 1-20, November.
    3. J. Paul Elhorst & Marco Gross & Eugen Tereanu, 2021. "Cross‐Sectional Dependence And Spillovers In Space And Time: Where Spatial Econometrics And Global Var Models Meet," Journal of Economic Surveys, Wiley Blackwell, vol. 35(1), pages 192-226, February.
    4. Marko Mlikota, 2022. "Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications," Papers 2211.13610, arXiv.org, revised Sep 2024.
    5. Badi H. Baltagi & Ying Deng & Jing Li & Zhenlin Yang, 2023. "Cities in a pandemic: Evidence from China," Journal of Regional Science, Wiley Blackwell, vol. 63(2), pages 379-408, March.
    6. Dennis Gaus & Heike Link, 2020. "Economic Effects of Transportation Infrastructure Quantity and Quality: A Study of German Counties," Discussion Papers of DIW Berlin 1848, DIW Berlin, German Institute for Economic Research.
    7. Elhorst, J. Paul & Emili, Silvia, 2022. "A spatial econometric multivariate model of Okun's law," Regional Science and Urban Economics, Elsevier, vol. 93(C).
    8. Sofien Tiba & Fateh Belaid, 2021. "Modeling The Nexus Between Sustainable Development And Renewable Energy: The African Perspectives," Journal of Economic Surveys, Wiley Blackwell, vol. 35(1), pages 307-329, February.
    9. Wu, Jie & Zheng, Zemin & Li, Yang & Zhang, Yi, 2020. "Scalable interpretable learning for multi-response error-in-variables regression," Journal of Multivariate Analysis, Elsevier, vol. 179(C).
    10. Marius C. O. Amba & Taoufiki Mbratana & Julie Gallo, 2023. "Spatial panel simultaneous equations models with error components," Empirical Economics, Springer, vol. 65(3), pages 1149-1196, September.

    More about this item

    Keywords

    Dynamic panel; Spatial simultaneous equations; Identification; Quasi-maximum likelihood; Instrumental variables;
    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
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes

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