spanel: le package R pour l’estimation des données de panel spatiale

Zaghdoudi, Taha (2016): spanel: le package R pour l’estimation des données de panel spatiale.

Abstract

This paper introduces the spanel pacakge developped under the R statistical programming language.spanel estimates the spatial autoregressive panel models using the two stage least squares method proposed by Kelejian and Prucha [1998] and Lee [2003] and Baltagi and Liu, 2011.

• Item Type: MPRA Paper
• English Title: spanel: an R package to estimate the spatial panel data
• Language: French
• Keywords: Panel Data Spatial Model Two Stage Least Squares
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions

References

Badi H Baltagi and Long Liu. Instrumental variable estimation of a spatial autoregressive panel model with random effects. Economics Letters, 111(2):135-137, 2011.

Harry H Kelejian and Ingmar R Prucha. A generalized spatial two-stage least squares procedure for estimating a spatial autoregressive model with autoregressive disturbances. The Journal of Real Estate Finance and Economics, 17(1):99-121, 1998.

Harry H Kelejian, Ingmar R Prucha, and Yevgeny Yuzefovich. Instrumental variable estimation of a spatial autoregressive model with autoregressive disturbances: Large and small sample results. Advances in Econometrics: Spatial and Spatio-Temporal econometrics, pages 163-198, 2004.

Lung-fei Lee. Best spatial two-stage least squares estimators for a spatial autoregressive model with autoregressive disturbances. Econometric Reviews, 22(4):307-335, 2003.