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.
Panel Data; Fixed Effects; Random Effects; Spatial Model; Hausman Test
Working Papers Series
Econometrics | Economics | Economic Theory
Baltagi, Badi and Liu, Long, "Random Effects, Fixed Effects and Hausman’s Test for the Generalized Mixed Regressive Spatial Autoregressive Panel" (2014). Center for Policy Research. 207.
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