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Specification and estimation of a periodic spatial panel autoregressive model

Author

Listed:
  • Marius C. O. Amba

    (University of Yaounde II)

  • Julie Gallo

    (Université de Bourgogne Franche-Comté)

Abstract

Conventional estimation methods for the the spatial autoregressive (SAR) model rely on the key assumption that the spatial lag parameter is time-invariant for the entire study period. This strong assumption is likely be violated in many economic situations where spillovers may change over time. At the other extreme, a time-varying model where the spatial lag coefficient changes every period might be unnecessary. This paper specifies a periodic spatial autoregressive model with fixed effects and develops three estimation methods: two-stage instrumental variable (2SLS) method, quasi-maximum likelihood estimation (QMLE) approach and generalized method of moments (GMM). The Monte Carlo study investigates the small-sample properties of the proposed estimators under various scenarios and evaluates the costs of misspecification of the Data Generating Process, pointing to the usefulness of the periodic spatial autoregressive model from an applied perspective.

Suggested Citation

  • Marius C. O. Amba & Julie Gallo, 2022. "Specification and estimation of a periodic spatial panel autoregressive model," Journal of Spatial Econometrics, Springer, vol. 3(1), pages 1-34, December.
    • Handle: RePEc:spr:jospat:v:3:y:2022:i:1:d:10.1007_s43071-022-00028-5
    DOI: 10.1007/s43071-022-00028-5
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    References listed on IDEAS

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    Cited by:

    1. 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.

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    More about this item

    Keywords

    Periodical spatial dependence; Spatial autoregressive model; Fixed effects;
    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

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