Random Effects, Fixed Effects and Hausman's Test for the Generalized Mixed Regressive Spatial Autoregressive Panel Data Model

Badi H Baltagi, Long Liu

Research output: Contribution to journalArticle

6 Scopus citations

Abstract

This article 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 et al. (2013) by the inclusion of a spatial lag term. The estimation method utilizes the Generalized Moments method suggested by Kapoor et al. (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.

Original languageEnglish (US)
Pages (from-to)638-658
Number of pages21
JournalEconometric Reviews
Volume35
Issue number4
DOIs
StatePublished - Apr 20 2016

Keywords

  • Fixed effects
  • Hausman test
  • Panel data
  • Random effects
  • Spatial model

ASJC Scopus subject areas

  • Economics and Econometrics

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