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Random Effects, Fixed Effects and Hausman’s Test for the Generalized Mixed Regressive Spatial Autoregressive Panel

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Abstract

This paper suggests random and fixed effects spatial two-stage least squares estimators for the generalized mixed regressive spatial autoregressive panel data model. This extends the generalized spatial panel model of Baltagi, Egger and Pfaffermayr (2013) by the inclusion of a spatial lag dependent variable. The estimation method utilizes the Generalized Moments method suggested by Kapoor, Kelejian, and Prucha (2007) for a spatial autoregressive panel data model. We derive the asymptotic distributions of these estimators and suggest a Hausman test a la Mutl and Pfaffermayr (2011) based on the difference between these estimators. Monte Carlo experiments are performed to investigate the performance of these estimators as well as the corresponding Hausman test.

Suggested Citation

  • Badi H. Baltagi & Long Liu, 2014. "Random Effects, Fixed Effects and Hausman’s Test for the Generalized Mixed Regressive Spatial Autoregressive Panel," Center for Policy Research Working Papers 174, Center for Policy Research, Maxwell School, Syracuse University.
    • Handle: RePEc:max:cprwps:174
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    File URL: https://surface.syr.edu/cpr/207/
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    1. Debarsy, Nicolas & Ertur, Cem, 2010. "Testing for spatial autocorrelation in a fixed effects panel data model," Regional Science and Urban Economics, Elsevier, vol. 40(6), pages 453-470, November.
    2. 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.
    3. Baltagi, Badi H. & Liu, Long, 2011. "Instrumental variable estimation of a spatial autoregressive panel model with random effects," Economics Letters, Elsevier, vol. 111(2), pages 135-137, May.
    4. Jan Mutl & Michael Pfaffermayr, 2011. "The Hausman test in a Cliff and Ord panel model," Econometrics Journal, Royal Economic Society, vol. 14, pages 48-76, February.
    5. Baltagi, Badi H. & Song, Seuck Heun & Koh, Won, 2003. "Testing panel data regression models with spatial error correlation," Journal of Econometrics, Elsevier, vol. 117(1), pages 123-150, November.
    6. László Mátyás & Patrick Sevestre (ed.), 2008. "The Econometrics of Panel Data," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75892-1.
    7. Badi Baltagi & Dong Li, 2006. "Prediction in the Panel Data Model with Spatial Correlation: the Case of Liquor," Spatial Economic Analysis, Taylor & Francis Journals, vol. 1(2), pages 175-185.
    8. Hubert Jayet & Julie Le Gallo & Luc Anselin, 2008. "Spatial Econometrics and Panel Data Models," Post-Print hal-02389412, HAL.
    9. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2013. "A Generalized Spatial Panel Data Model with Random Effects," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 650-685, August.
    10. Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R., 2007. "Panel data models with spatially correlated error components," Journal of Econometrics, Elsevier, vol. 140(1), pages 97-130, September.
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    Cited by:

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    More about this item

    Keywords

    Panel Data; Fixed Effects; Random Effects; Spatial Model; Hausman Test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • 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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