Kukenova, Madina and Monteiro, Jose-Antonio (2008): Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation.
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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 - Panel Data Models ; Spatio-temporal Models
|Depositing User:||Jose-Antonio Monteiro|
|Date Deposited:||15. Nov 2008 04:00|
|Last Modified:||14. Feb 2013 20:01|
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