Unconditional Maximum Likelihood Estimation of Linear and Log‐Linear Dynamic Models for Spatial Panels
Tóm tắt
This article hammers out the estimation of a fixed effects dynamic panel data model extended to include either spatial error autocorrelation or a spatially lagged dependent variable. To overcome the inconsistencies associated with the traditional least‐squares dummy estimator, the models are first‐differenced to eliminate the fixed effects and then the unconditional likelihood function is derived taking into account the density function of the first‐differenced observations on each spatial unit. When exogenous variables are omitted, the exact likelihood function is found to exist. When exogenous variables are included, the pre‐sample values of these variables and thus the likelihood function must be approximated. Two leading cases are considered: the Bhargava and Sargan approximation and the Nerlove and Balestra approximation. As an application, a dynamic demand model for cigarettes is estimated based on panel data from 46 U.S. states over the period from 1963 to 1992.
Từ khóa
Tài liệu tham khảo
Baltagi B. H., 2001, Econometric Analysis of Panel Data
Blundell R., 1991, Conditions initiales et estimation efficace dans les modèles dynamiques sur données de panel, Annales d'Économie et de Statistique, 20, 109
Cressie N. A. C., 1991, Statistics for Spatial Data
Elhorst J. P., 2003, Unconditional Maximum Likelihood Estimation of Dynamic Models for Spatial Panels
Elhorst J. P., 2004, Spatial Econometrics and Spatial Statistics
Griffith D. A., 1996, Spatial Analysis: Modelling in a GIS Environment
Hadinger H. W. G.Müller andG.Tondl. (2002). “Regional Convergence in the European Union (1985–1999): A Spatial Dynamic Panel Analysis.”HWWA Discussion Paper 210 Hamburg Germany.
Hepple L. W., 1978, Time and Regional Dynamics
Hoogstrate A. J., 1998, Dynamic Panel Data Models: Theory and Macroeconomic Applications
Hsiao C., 1986, Analysis of Panel Data
Johnston J., 1997, Econometric Methods
Lahiri S. N., 2003, Central Limit Theorems for Weighted Sums of a Spatial Process under a Class of Stochastic and Fixed Designs, Sankhya, 65, 356
Lee L.‐F., 1981, Time Series Analysis
Nerlove M., 1999, Analysis of Panels and Limited Dependent Variable Models
Nerlove M., 2000, Panel Data Econometrics: Future Directions
Nerlove M., 1996, The Econometrics of Panel Data