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Spatial panel-data models using Stata

Author

Listed:
  • Federico Belotti

    (University of Rome Tor Vergata)

  • Gordon Hughes

    (University of Edinburgh)

  • Andrea Piano Mortari

    (University of Rome Tor Vergata)

Abstract

xsmle is a new user-written command for spatial analysis. We consider the quasi–maximum likelihood estimation of a wide set of both fixed- and random-effects spatial models for balanced panel data. xsmle allows users to han- dle unbalanced panels using its full compatibility with the mi suite of commands, use spatial weight matrices in the form of both Stata matrices and spmat objects, compute direct, indirect, and total marginal effects and related standard errors for linear (in variables) specifications, and exploit a wide range of postestimation features, including the panel-data case predictors of Kelejian and Prucha (2007, Regional Science and Urban Economics 37: 363–374). Moreover, xsmle allows the use of margins to compute total marginal effects in the presence of nonlinear specifications obtained using factor variables. In this article, we describe the command and all of its functionalities using simulated and real data.

Suggested Citation

  • Federico Belotti & Gordon Hughes & Andrea Piano Mortari, 2017. "Spatial panel-data models using Stata," Stata Journal, StataCorp LP, vol. 17(1), pages 139-180, March.
    • Handle: RePEc:tsj:stataj:v:17:y:2017:i:1:p:139-180
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    xsmle; spatial analysis; spatial autocorrelation model; spatial autoregressive model; spatial Durbin model; spatial error model; generalized spa- tial panel random-effects model; panel data; maximum likelihood estimation;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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