The Mundlak Spatial Estimator

Author(s)/Creator(s)

Badi H. Baltagi, Syracuse UniversityFollow

Description/Abstract

The spatial Mundlak model first considered by Debarsy (2012) is an alternative to fixed effects and random effects estimation for spatial panel data models. Mundlak modelled the correlated random individual effects as a linear combination of the averaged regressors over time plus a random time-invariant error. This paper shows that if spatial correlation is present whether spatial lag or spatial error or both, the standard Mundlak result in panel data does not hold and random effects does not reduce to its fixed effects counterpart. However, using maximum likelihood one can still estimate these spatial Mundlak models and test the correlated random effects specification of Mundlak using Likelihood ratio tests as demonstrated by Debarsy for the Mundlak spatial Durbin model.

Document Type

Working Paper

Date

Fall 9-2023

Keywords

Mundlak Regression, Panel Data, Fixed and Random Effects, Spatial error model, Spatial Durbin model

Language

English

Series

Working Papers Series

Disciplines

Economic Policy | Economics | Public Affairs, Public Policy and Public Administration | Public Policy

ISSN

1525-3066

Recommended Citation

Baltagi, Badi H., "The Mundlak Spatial Estimator" (2023). Center for Policy Research. 476.
https://surface.syr.edu/cpr/476

Creative Commons License

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