Instrumental variable estimation of a spatial autoregressive panel model with random effects

Badi H. Baltagi; Long Liu

doi:10.1016/j.econlet.2011.01.016

Instrumental variable estimation of a spatial autoregressive panel model with random effects

Badi H. Baltagi, Long Liu

Department of Economics

Research output: Contribution to journal › Article › peer-review

38 Scopus citations

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.

Original language	English (US)
Pages (from-to)	135-137
Number of pages	3
Journal	Economics Letters
Volume	111
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2011.01.016
State	Published - May 2011

Keywords

Error components
Panel data
Spatial model
Two stage least squares

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2011.01.016

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title = "Instrumental variable estimation of a spatial autoregressive panel model with random effects",

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.",

keywords = "Error components, Panel data, Spatial model, Two stage least squares",

author = "Baltagi, {Badi H.} and Long Liu",

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AB - 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.

KW - Error components

KW - Panel data

KW - Spatial model

KW - Two stage least squares

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Instrumental variable estimation of a spatial autoregressive panel model with random effects

Abstract

Keywords

ASJC Scopus subject areas

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