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

Badi H. Baltagi, Long Liu

Research output: Contribution to journalArticle

22 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 languageEnglish (US)
Pages (from-to)135-137
Number of pages3
JournalEconomics Letters
Volume111
Issue number2
DOIs
StatePublished - 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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