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Dynamic Panel Data Models with Spatial Correlation

Author

Listed:
  • Hujer Reinhard

    (Professor of Statistics and Econometrics at the J.W.Goethe-University of Frankfurt a.M. and Research Fellow of the IZA, Bonn and ZEW, Mannheim. Address: Fachbereich Wirtschaftswissenschaften, Goethe-Universität Frankfurt a.M., Mertonstraße 17, 60054 Frankfurt a.M., Germany)

  • Rodrigues Paulo J. M.

    (Research Assistant at the Chair of Derivatives and Financial Engineering, Fachbereich Wirtschaftswissenschaften, Goethe-Universität Frankfurt a.M., HoF, Grüneburgplatz 1, 60323 Frankfurt a.M., Germany)

  • Wolf Katja

    (Research Assistant at the Institute for Employment Research in Nürnberg. Institut für Arbeitsmarkt- und Berufsforschung (IAB), Regensburger Straße 104, 90478 Nürnberg, Germany)

Abstract

This paper presents an overview of recently developed estimation methods for dynamic panel data models with spatial correlation. We discuss the specification, the main assumptions and the implications of the model. The most important estimation strategy is the application of Generalized Method of Moments (GMM). The focus lies on the derivation of the moment conditions, the estimation of the degree of spatial correlation and the specification of the optimal weighting matrix. Finally we estimate an augmented matching function to analyze the effects of active labour market policy programs in Germany using two different weighting schemes.

Suggested Citation

  • Hujer Reinhard & Rodrigues Paulo J. M. & Wolf Katja, 2008. "Dynamic Panel Data Models with Spatial Correlation," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(5-6), pages 612-629, October.
    • Handle: RePEc:jns:jbstat:v:228:y:2008:i:5-6:p:612-629
    DOI: 10.1515/jbnst-2008-5-612
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    References listed on IDEAS

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