Instrumental Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects
Syracuse University Center for Research Policy Working Paper No. 127
9 Pages Posted: 10 Apr 2011
Date Written: January 1, 2011
Abstract
This paper extends the instrumental variable estimators of Kelejian and Prucha (1998) and Lee (2003) proposed for the cross-sectional spatial autoregressive model to the random effects spatial autoregressive panel data model. It also suggests an extension of the Baltagi (1981) error component 2SLS estimator to this spatial panel model.
Keywords: Panel Data, Spatial Model, Two Stage Least Squares, Error Components
JEL Classification: C13, C21
Suggested Citation: Suggested Citation
Baltagi, Badi H. and Liu, Long, Instrumental Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects (January 1, 2011). Syracuse University Center for Research Policy Working Paper No. 127, Available at SSRN: https://ssrn.com/abstract=1805737 or http://dx.doi.org/10.2139/ssrn.1805737
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