Kukenova, Madina and Monteiro, Jose-Antonio (2008): Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation.
Download (189Kb) | Preview
Since there is so far no estimator that allows to estimate a dynamic panel model that includes a spatial lag as well as other potential endogenous variables. This paper wants to determine if it is suitable to instrument the spatial lag variable (which is by de�finition endogenous/simultaneous) using the instruments proposed by system GMM, i.e. lagged spatial lag values. The Monte Carlo investigation highlights the possibility to estimate a dynamic spatial lag model using the extended GMM proposed by Arellano and Bover (1995) and Blundell and Bover (1998), especially when N and T are large.
|Item Type:||MPRA Paper|
|Original Title:||Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation|
|Keywords:||Spatial Econometrics; Dynamic Panel Model; System GMM; Monte Carlo Simulations|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C33 - Models with Panel Data; Longitudinal Data; Spatial Time Series
|Depositing User:||Jose-Antonio Monteiro|
|Date Deposited:||15. Nov 2008 04:00|
|Last Modified:||14. Feb 2013 20:01|
Anselin, L., 1988, Spatial Econometrics: Methods and Models, Kluwer Academic Publishers, Dordrecht.
Anselin, L., 1990, "What is Special about Spatial Data? Alternative Perspectives on Spatial Data Analysis", in D. Griffith, ed., Spatial Statistics: Past, Present and Future, Ann Arbor, Michingan.
Anselin, L., 2001, "Spatial Econometrics", in A Companion to Theoretical Econometrics, ed., B.H. Baltagi, Blackwell Publishers Lte., Massachusetts.
Anselin, L., 2003, "Spatial Externalities, Spatial Multipliers and Spatial Econometrics", International Regional Science Review 26, 153--166.
Anselin, L., 2006, "Spatial Econometrics" In: Mills TC, Patterson K (eds) Palgrave handbook of econometrics: Volume 1, econometric theory. Palgrave MacMillan, Basingstoke.
Arellano, M., and S. Bond, 1991, "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations", Review of Economic Studies 58, 277-97.
Badinger, H., W. Müller and G. Tondl, 2004, "Regional Convergence in the European Union, 1985- 1999: A Spatial Dynamic Panel Analysis", Regional Studies 38, 241-253.
Baltagi, B.H. and C. Kao, 2000, "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey", Advances in Econometrics 68, 29-51.
Baltagi, B. H., P. Egger, and M. Pfaffermayr, 2007, "Estimating Models of Complex FDI: Are There Third-Country Effects?", Journal of Econometrics 140, 260-281.
Beenstock M. and D. Felsenstein, 2007, "Spatial Vector Autoregressions," Spatial Economic Analysis 2, 167-196.
Blonigen, B. A., R. B. Davies, H. T. Naughton, and G. R. Waddell, 2008, "Spacey Parents: Spatial Autoregressive Patterns in Inbound FDI", in Inbound FDI, in S. Brakman and H. Garretsen (Eds.), Foreign Direct Investment and the Multinational Enterprise. Cambridge, MA: The MIT Press.
Blonigen, B. A., R. B. Davies, G. R. Waddell, and H. T. Naughton, 2007, "FDI in Space: Spatial Autoregressive Relationships in Foreign Direct Investment", European Economic Review 51, 1303-1325.
Blundell, R., and S. Bond, 1998, "Initial Conditions and Moment Restrictions in Dynamic Panel Data Models", Journal of Econometrics 87, 115-143.
Cliff, A. D., and J. K. Ord, 1981, Spatial Processes: Models and Applications. Pion Ltd., London.
Dall'erba S. and J. Le Gallo, 2008, "Regional Convergence and the Impact of European Structural Funds Over 1989--1999: A Spatial Econometric Analysis", Papers in Regional Science 87, 219--244.
Dubin, R., 2004, "Spatial Lags and Spatial Errors Revisited: Monte Carlo Evidence", in Advances in Econometrics, Volume 18, Spatial and Spatiotemporal Econometrics, James P. LeSage and R. Kelley Pace (eds.), 75-98. Elsevier Ltd, Oxford.
Elhorst, J. P., 2001, "Panel Data Models Extended to Spatial Error Autocorrelation or a Spatially Lagged Dependent Variable", Research Report 01C05, University of Groningen, Research Institute SOM (Systems, Organizations and Management). http://irs.ub.rug.nl/ppn/217984169
Elhorst, J. P., 2003a, "Unconditional Maximum Likelihood Estimation of Dynamic Models for Spatial Panels", Research Report 03C27, University of Groningen, Research Institute SOM (Systems, Organizations and Management). http://irs.ub.rug.nl/ppn/25230568X
Elhorst, J. P., 2003b, "Specification and Estimation of Spatial Panel Data Models", International Regional Science Review 26, 244-268.
Fingleton, B. and J. Le Gallo, 2008, "Estimating Spatial Models with Endogenous Variables, a Spatial Lag and Spatially Dependent Disturbances: Finite Sample Properties", Papers in Regional Science, forthcoming.
Foucault, M., T. Madies and S. Paty, 2008, "Public Spending Interactions and Local Politics. Empirical Evidence From French Municipalities," Public Choice 137, 57-80.
Haining, R., "Estimating spatial-interaction models" Environment and Planning A10, 305--320.
Hong, E., L. Sun, and T. Li, 2008, "Location of Foreign Direct Investment in China: A Spatial Dynamic Panel Data Analysis by Country of Origin", Discussion Paper 86, Department of Financial & Management Studies, University of London. http://www.cefims.ac.uk/documents/research-79.pdf
Hsiao, C., M.H. Pesaran and A.K. Tahmiscioglu, 2002, "Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods", Journal of Econometrics109, 107-150.
Kapoor M., H.H. Kelejian and I.R. Prucha, 2007, "Panel Data Models with Spatially Correlated Error Components". Journal of Econometrics 140, 97--130.
Kelejian, H.H. and I.R. Prucha, 1998, "A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances.", Journal of Real Estate Finance and Economics 17, 99--121.
Kelejian, H.H. and I.R. Prucha, 1999, "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model". International Economic Review 40, 509--533.
Keller, W. and C. Shiue, 2007, "The Origin of Spatial Interaction", Journal of Econometrics 140, 304-332.
Korniotis, G. M., 2007, "Estimating Panel Models with Internal and External Habit Formation". http://ssrn.com/abstract=986726
Kukenova : Kukenova, M. and J.-A. Monteiro, "Does Lax Environmental Regulation Attract FDI when accounting for "third-country" effects?". http://ssrn.com/abstract=1292705
Lee, L., 2003, "Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances", Econometric Reviews 22, 307-335.
Lee, L. and J. Yu, 2007, "A Spatial Dynamic Panel Data Model with Both Time and Individual Fixed Effects", University of Rochester. http://www.econ.ohio-state.edu/lee/wp/Time-Dummy-Spatial-Panel-0718.pdf
Madariaga, N. and S. Poncet, 2007, "FDI in Chinese Cities: Spillovers and Impact on Growth", The World Economy 30, 837-862.
Phillips, P. and H. Moon, 2000, "Nonstationary Panel Data Analysis: an Overview of some Recent Developments", Econometric Reviews 19: 263-286.
Yu, J., R. de Jong and L. Lee, 2006, "Quasi-Maximum Likelihood Estimators For Spatial Dynamic Panel Data With Fixed Effects When Both n and T Are Large", University of Rochester. http://www.econ.ohio-state.edu/lee/wp/Yu-deJong-Lee-2006.pdf
Available Versions of this Item
- Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation. (deposited 15. Nov 2008 04:00) [Currently Displayed]