Instrumental Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects

Author(s)/Creator(s)

Badi H. Baltagi, Syracuse University
Long Liu, University of Texas at San Antonio

Description/Abstract

This paper extends the instrumental variable estimators of Kelejian and Prucha (1998) and Lee (2003) proposed for the cross-sectional spatial autoregressive model to the random effects spatial autoregressive panel data model. It also suggests an extension of the Baltagi (1981) error component 2SLS estimator to this spatial panel model.

Document Type

Working Paper

Date

1-2011

Keywords

Panel Data; Spatial Model; Two Stage Least Squares; Error Components

Series

Working Papers Series

Disciplines

Economics

Additional Information

Working paper no. 127

Recommended Citation

Baltagi, Badi H. and Liu, Long, "Instrumental Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects" (2011). Center for Policy Research. 164.
https://surface.syr.edu/cpr/164

Source

local input

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.