The dynamic general nesting spatial econometric model for spatial panels with common factors: Further raising the bar

Review of Regional Research - Tập 42 Số 3 - Trang 249-267 - 2022
J. Paul Elhorst1
1Department of Economics, Econometrics and Finance, University of Groningen, P.O.Box 800, 9700AV, Groningen, The Netherlands

Tóm tắt

Từ khóa


Tài liệu tham khảo

Ahrens A, Bhattacharjee A (2015) Two-step lasso estimation of the spatial weights matrix. Econometrics 3:128–155

Allers MA, Elhorst JP (2011) A simultaneous equations model of fiscal policy interactions. J Regional Sci 51:271–291

Anselin L (1988) Spatial econometrics: methods and models. Kluwer, Dordrecht

Anselin L (2006) Spatial econometrics. In: Mills T, Patterson K (eds) Econometric theory. Palgrave Handbook of Econometrics, vol 1. Palgrave McMillan, Basingstoke, pp 901–969

Anselin L (2010) Thirty years of spatial econometrics. Papers Regional Science 89:3–25

Anselin L, Bera AK, Florax R, Yoon MJ (1996) simple diagnostic tests for spatial dependence. Reg Sci Urban Econ 27:77–104

Anselin L, LeGallo J, Jayet H (2008) Spatial panel econometrics. In: Mátyás L, Sevestre P (eds) The econometrics of panel data, fundamentals and recent developments in theory and practice, 3rd edn. Kluwer, Dordrecht, pp 627–662

Arbia G, Fingleton B (2008) new spatial econometric techniques and applications in regional science. Papers Regional Science 87:311–317

Arbia G, Bera AK, Dogan O, Taspınar S (2020) Testing impact measures in spatial autoregressive models. Int Reg Sci Rev 43:40–75

Baltagi BH (2005) Econometric analysis of panel data, 3rd edn. Wiley, Chichester

Bao Y, Ullah A (2007) Finite sample properties of maximum likelihood estimator in spatial models. J Econom 137:396–413

Beenstock M, Felsenstein D (2019) The econometric analysis of non-stationary spatial panel data. Springer, Cham

Behrens K, Ertur C, Koch W (2012) dual’ gravity: using spatial econometrics to control for multilateral resistance. J Appl Econ 27:773–794

Besley T, Case A (1995) Incumbent behavior: vote seeking, tax setting and yardstick competition. Am Econ Rev 85:25–45

Blanchard OJ, Katz LF (1992) Regional evolutions. Brookings Pap Econ Act 1:1–75

Blonigen BA, Davies RB, Waddel GR, Naughton HT (2007) FDI in space: spatial autoregressive relationships in foreign direct investment. Eur Econ Rev 51:1303–1325

Brechling F (1967) Trends and cycles in British regional unemployment. Oxf Econ Pap 19:1–21

Brueckner JK (2003) Strategic interaction among governments: an overview of empirical studies. Int Reg Sci Rev 26:175–188

Brueckner JK (2006) Strategic interactions among governments. In: Arnott RJ, McMillen DP (eds) A companion to urban economics. Blackwell, Malden, pp 332–347

Ciccarelli C, Elhorst JP (2018) A dynamic spatial econometric diffusion model with common factors: the rise and spread of cigarette consumption in Italy. Reg Sci Urban Econ 72:131–142

Corrado L, Fingleton B (2012) Where is the economics in spatial econometrics? J Regional Sci 52:210–239

Costa da Silva FD, Elhorst JP, Neto Silveira Rd M (2017) Urban and rural population growth in a spatial panel of municipalities. Reg Stud 51:894–908

Debarsy N, Ertur C, LeSage JP (2012) Interpreting dynamic space-time panel data models. Stat Methodol 9:158–171

Decressin J, Fatás A (1995) Regional labor market dynamics in Europe. Eur Econ Rev 39:1627–1655

Drukker DM, Egger P, Prucha IR (2013) On two-step estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors. Econom Rev 32:686–733

Elhorst JP (2003) The mystery of regional unemployment differentials: theoretical and empirical explanations. J Economic Surveys 17:709–748

Elhorst JP (2010) Applied spatial econometrics: raising the bar. Spatial Econ Anal 5:9–28

Elhorst JP (2014) Spatial econometrics: from cross-sectional data to spatial panels. Springer, Heidelberg

Elhorst JP (2021) Spatial panel models and common factors. In: Fischer M, Nijkamp P (eds) Handbook of regional science. Springer, Berlin, Heidelberg https://doi.org/10.1007/978-3-642-36203-3_86-1

Elhorst JP, Halleck Vega SM (2017) The SLX model: extensions and the sensitivity of spatial spillovers to W. Papeles Econ Espanol 152:34–50

Elhorst JP, Zigová K (2014) Competition in research activity among economic departments: evidence by negative spatial autocorrelation. Geogr Anal 46:104–125

Elhorst P, Abreu M, Amaral P, Bhattacharjee A, Chasco C, Corrado L, Doran J, Felsenstein D, Fuerst F, Le Gallo J, McCann P, Monastiriotis V, Quatraro F, Temursho U, Yu J (2020a) Raising the bar (16). Spatial Econ Anal 15:353–358

Elhorst JP, Madre JL, Pirotte A (2020b) Car traffic, habit persistence, cross-sectional dependence, and spatial heterogeneity: new insights using French departmental data. Transportation Res A 132:614–632

Elhorst JP, Gross M, Tereanu E (2021) Cross-sectional dependence and spillovers in space and time: where spatial econometrics and global VAR models meet. J Economic Surveys 35:192–226

Ertur C, Koch W (2007) Growth, technological interdependence and spatial externalities: theory and evidence. J Appl Econ 22:1033–1062

Fogli A, Veldkamp L (2011) Nature or nurture? Learning and the geography of female labor force participation. Econometrica 79:1103–1138

Gibbons S, Overman HG (2012) Mostly pointless spatial econometrics? J Reg Sci 52:172–191

Glaeser EL (2008) Cities, agglomeration and spatial equilibrium. Oxford University Press, Oxford

Goyal S (2009) Connections: an introduction to the economics of networks. University Press, Princeton

Groote PD, Elhorst JP, Tassenaar PG (2009) Standard of living effects due to infrastructure improvements in the 19th century. Soc Sci Comput Rev 27:380–389

Halleck Vega SM, Elhorst JP (2015) The SLX model. J Reg Sci 55:339–363

Halleck Vega SM, Elhorst JP (2016) A regional unemployment model simultaneously accounting for serial dynamics and strong cross-sectional dependence. Reg Sci Urban Econ 60:85–95

Halleck Vega SM, Elhorst JP (2017) Regional labor force participation across the European Union: a time-space recursive modeling approach with endogenous regressors. Spatial Econ Anal 12:422–439

Hanson GH (2005) Market potential, increasing returns and geographic concentration. J Int Econ 67:1–24

Heijnen P, Elhorst JP (2018) The diffusion of local differentiated waste disposal taxes in the Netherlands. Economist 166:239–258

Kelejian H, Piras G (2017) Spatial econometrics. Elsevier, London

Kelejian HH, Prucha IR (1998) A generalized spatial two stage least squares procedure for estimating a spatial autoregressive model with autoregressive disturbances. J Real Estate Finance Econ 17:99–121

Kelejian HH, Prucha IR (1999) A generalized moments estimator for the autoregressive parameter in a spatial model. Int Econ Rev 40:509–533

Keller W, Shiue CH (2007) The origin of spatial interaction. J Econom 140:304–332

Kelly M (2019) The standard errors of persistence. CEPR Discussion paper DP13783. , London

Korniotis GM (2010) Estimating panel models with internal and external habit formation. J Bus Econ Stat 28:145–158

Kyriacou M, Phillips PCB, Rossi F (2017) Indirect inference in spatial autoregression. Econom J 20:168–189

Lacombe DJ, LeSage JP (2015) Using Bayesian posterior model probabilities to identify omitted variables in spatial regression models. Papers Regional Science 94:365–384

Lee LF (2004) Asymptotic distribution of quasi-maximum likelihood estimators for spatial autoregressive models. Econometrica 72:1899–1925

Lee LF, Yu J (2012) Spatial panels: random components vs fixed effects. Int Econom Rev 53:1369–1412

Lee LF, Yu J (2015) Estimation of fixed effects panel regression models with separable and nonseparable space-time filters. J Econom 184:174–192

LeSage JP (1997) Bayesian estimation of spatial autoregressive models. Int Reg Sci Rev 20:113–129

LeSage JP, Pace RK (2009) Introduction to spatial econometrics. CRC Press Taylor & Francis, Boca Raton

LeSage JP, Vance C, Chic YY (2017) A Bayesian heterogeneous coefficients spatial autoregressive panel data model of retail fuel duopoly pricing. Reg Sci Urban Econ 62:46–55

McMillen D (2012) Perspectives on spatial econometrics: linear smoothing with structured models. J Reg Sci 52:192–209

Moran P (1948) The interpretation of statistical maps. J Royal Stat Soc B 10:243–251

Ord J (1975) Estimation methods for models of spatial interaction. J Am Stat Assoc 70:120–126

Pace RK, LeSage JP (2008) A spatial Hausman test. Econ Lett 101:282–284

Parent O, LeSage JP (2010) A spatial dynamic panel model with random effects applied to commuting times. Transp Res B 44:633–645

Parent O, LeSage JP (2011) A space-time filter for panel data models containing random effects. Comput Stat Data Anal 55:475–490

Partridge MD, Boarnet MG, Brakman S, Ottaviano G (2012) Introduction: whither spatial econometrics? J Reg Sci 52:167–171

Pesaran MH (2006) Estimation and inferences in large heterogenous panels with a multifactor structure. Econometrica 74:967–1012

Pesaran MH (2015) Testing weak cross-sectional dependence in large panels. Econom Rev 34:1089–1116

Pinkse J, Slade ME (2010) The future of spatial econometrics. J Reg Sci 50:103–117

Pinkse J, Slade ME, Brett C (2002) Spatial price competition: a semiparametric approach. Econometrica 70:1111–1153

Shi W, Lee LF (2017) Spatial dynamic panel data model with interactive fixed effects. J Econom 197:323–347

Smirnov OA (2021) A closed-form consistent estimator for linear models with spatial dependence. Geogr Anal. https://doi.org/10.1111/gean.12268

Thirlwall AP (1966) Regional unemployment as a cyclical phenomenon. Scottish J Political Economy 13:205–219

Upton GJG, Fingleton B (1985) Spatial data analysis by example 1. Wiley, Chichester

Voth H‑J (2020) Persistence—myth and mystery. CEPR Discussion paper DP15417. , London

Whittle P (1954) On stationary processes in the plane. Biometrika 41:434–449

Wildasin DE (1988) Nash equilibria in models of fiscal competition. J Public Econ 35:229–240

Xu X, Lee LF (2019) Theoretical foundations for spatial econometric research. Reg Sci Urban Econ 76:2–12

Yesilyurt ME, Elhorst JP (2017) Impacts of neighboring countries on military expenditures: a dynamic spatial panel approach. J Peace Res 54:777–790