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An Overview on Econometric Models for Linear Spatial Panel Data

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  • Brajendra C. Sutradhar

    (Carleton University
    Memorial University)

Abstract

When spatial data are repeatedly collected from the same spatial locations over a short period of time, a spatial panel/longitudinal data set is generated. Thus, this type of spatial longitudinal data must exhibit both spatial and longitudinal correlations, which are not easy to model. This work is motivated by existing studies in statistics and econometrics literature but the proposed model and inference procedures should be applicable to the spatial panel data encountered in other fields as well such as environmental and/or ecological setups. Specifically, unlike the existing studies, we propose a new dynamic mixed model to accommodate both spatial and panel correlations. A complete theoretical analysis is given for the estimation of regression effects, and spatial and panel correlations by exploiting second and higher order moments based quasi-likelihood methods. Asymptotic properties are also studied in details. The step by step estimation results developed in the paper should be useful to the practitioners dealing with spatial panel data.

Suggested Citation

  • Brajendra C. Sutradhar, 2021. "An Overview on Econometric Models for Linear Spatial Panel Data," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 206-244, February.
    • Handle: RePEc:spr:sankha:v:83:y:2021:i:1:d:10.1007_s13171-019-00178-z
    DOI: 10.1007/s13171-019-00178-z
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    References listed on IDEAS

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    1. Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-965, July.
    2. Hensley H Mariathas & Brajendra C Sutradhar, 2016. "Variable Family Size Based Spatial Moving Correlations Model," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(1), pages 1-38, May.
    3. 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.
    4. Robinson, Peter M. & Rossi, Francesca, 2015. "Refinements in maximum likelihood inference on spatial autocorrelation in panel data," Journal of Econometrics, Elsevier, vol. 189(2), pages 447-456.
    5. 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.
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