Specification and Estimation of Spatial Panel Data Models

Elhorst, J. Paul

doi:10.1177/0160017603253791

“…Here, we focus on combining the spatial and panel aspects of the data in a SUR context. In fact, Anselin (1988) and Elhorst (2003) among others provided maximum likelihood (ML) methods that combine panel data with spatial analysis, while Kapoor, Kelejian and Prucha (2007) provided a generalized moments estimators (GM) approach for estimating a spatial random effects panel model with SAR disturbances. Fingleton (2008a) extended the GM approach of Kapoor, Kelejian and Prucha to allow for spatial moving average disturbances, see Anselin, Le Gallo and Jayet (2008) for a recent survey.…”

mentioning

confidence: 99%

Maximum likelihood estimation and Lagrange multiplier tests for panel seemingly unrelated regressions with spatial lag and spatial errors: An application to hedonic housing prices in Paris

Baltagi

¹

,

Bresson

²

2011

Journal of Urban Economics

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. www.econstor.eu The Institute for the Study of Labor (IZA) in Bonn is a local and virtual international research center and a place of communication between science, politics and business. IZA is an independent nonprofit organization supported by Deutsche Post Foundation. The center is associated with the University of Bonn and offers a stimulating research environment through its international network, workshops and conferences, data service, project support, research visits and doctoral program. IZA engages in (i) original and internationally competitive research in all fields of labor economics, (ii) development of policy concepts, and (iii) dissemination of research results and concepts to the interested public. Terms of use: Documents in D I S C U S S I O N P A P E R S E R I E SIZA Discussion Papers often represent preliminary work and are circulated to encourage discussion. Citation of such a paper should account for its provisional character. A revised version may be available directly from the author.IZA Discussion Paper No. 5227 September 2010 ABSTRACT Maximum Likelihood Estimation and Lagrange Multiplier Tests for Panel Seemingly Unrelated Regressions with Spatial Lag and Spatial Errors: An Application to Hedonic Housing Prices in Paris *This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and spatial error components. We study the general case where spatial effects are incorporated via spatial errors terms and via a spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification. We generalize the approach of Wang and Kockelman (2007) and propose joint and conditional Lagrange Multiplier tests for spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed estimators and tests are examined using Monte Carlo experiments. An empirical application to hedonic housing prices in Paris illustrates these methods. The proposed specification uses a system of three SUR equations corresponding to three types of flats within 80 districts of Paris over the period [1990][1991][1992][1993][1994][1995][1996][1997][1998][1999][2000][2001][2002][2003]. We test for spatial effects and heterogeneity and find reasonable estimates of the shadow prices for housing characteristics. JEL Classification:C31, C33, R21

show abstract

“…Hence, the spatial econometric estimations are usually estimated by Maximum Likelihood (Anselin, 1988;Anselin and Hudak, 1992;Elhorst, 2010) or by GMM (Kelejian andPrucha, 1998, 1999;Bell and Bockstael, 2000). There are two predominant approaches to specifying the spatial model: One can either include a spatially weighted dependent variable (the so-called "spatial lag model") or a spatially autocorrelated error ("spatial error model") into the regression model.…”

Section: Main Econometric Issues and Potential Solutionsmentioning

confidence: 99%

“…There are two predominant approaches to specifying the spatial model: One can either include a spatially weighted dependent variable (the so-called "spatial lag model") or a spatially autocorrelated error ("spatial error model") into the regression model. These approaches were originally focused on crosssectional (Anselin, 1988;Anselin and Bera, 1998;Anselin, 2006) and static panel datasets (Elhorst, 2003) and they have been extended to the case of dynamic panel estimators (Badinger, Müller and Tondl, 2004;Yu, de Jong and Lee, 2008). Recently, further approaches have been introduced, such as including both spatial lag and spatial error simultaneously (Kelejian and Prucha, 1998;Lee, 2003) or including spatially weighted independent variables (the so-called spatial Durban model, see, e.g., Elhorst, Piras and Arbia, 2006;Ertur and Koch, 2007).…”

Section: Main Econometric Issues and Potential Solutionsmentioning

confidence: 99%

Econometric Evaluation of EU Cohesion Policy: A Survey

Hagen

¹

,

Mohl²

2016

Empirical Evidence on the Macroeconomic Effects of EU Cohesion Policy

View full text Add to dashboard Cite

Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp09052.pdf Non-technical summaryMore than one third of the total EU budget is spent on so-called Cohesion Policy via the structural funds. Its main purpose is to reduce disparities among EU regions and to promote economic growth and convergence. Therefore, the convergence process of EU regions is a question of high political importance. The overall empirical evidence points to a small convergence effect of all or at least some European regions. However, whether or not this potential success results from EU Cohesion Policy remains an open question. The existing empirical evidence has provided mixed, if not contradictory, results. While some authors do find evidence of a positive impact of structural funds on economic growth, others find little to no impact at all. Against this background, this paper provides a fundamental review of the econometric evaluation of EU Cohesion Policy in order to shed light on the reasons for the diverging results. It has been shown that the econometric evaluation of EU Cohesion Policy is hampered by several econometric issues. Based on these issues we discuss potential solutions on how to cope with these problems and discuss the related literature.The most that can be concluded from empirical studies using country-level data is that Cohesion Policy seems to be only conditionally effective. Given a good quality institutional setup or decentralised governmental structures, Cohesion Policy has a positive impact on growth. However, using regional level data might be the preferable alternative because, first, EU Cohesion Policy focuses on the development and convergence of regions and, second, the robustness of the results is increased by the higher number of cross sections. The majority of the studies based on EU regions find at least a weak positive effect.One explanation for the weak results might be the fact that almost all studies are derived from a neoclassical growth model assuming that EU Cohesion Policy increases investments, and ultimately raising the economic growth rate. However, there is some empirical evidence that Cohesion Policy may only have a modest impact on investments. Moreover, we know very little about the labour market impact of EU Cohesion Policy. Hence, one task for future studies will be to investigate more thoroughly the channels through i which EU Cohesion Policy works.Another reason for the inconclusive empirical results m...

show abstract

“…Secondly, the spatial panel routines are known to help extinguish the impacts of any undetected collinearity that may exist in the sample data (Elhorst, 2003). As a result, we exploit the advantages of our panel data by estimating two panel data equations.…”

Section: Spatial Panel Data Modelsmentioning

confidence: 99%

“…Furthermore, the spatial panel estimation procedures, laid out in Section 4.5, further mitigate any existing collinearity that may linger in the sample data (Elhorst, 2003).…”

mentioning

confidence: 99%

Penetrating the knowledge filter in “rust belt” economies

Ács

¹

,

Plummer

²

,

Sutter

³

2008

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Penetrating the Knowledge Filter in "Rust Belt" Economies February 2008 Zoltan Acs George Mason University Lawrence A. PlummerClemson University Ryan Sutter George Mason University AbstractA new model of economic growth introduces the knowledge filter between new generic knowledge and economically-useful knowledge. It identifies both the formation of new ventures and the absorptive capacity of incumbent firms as the mechanisms that penetrate the knowledge filter. Recent empirical work has shown that new firms are more proficient at penetrating the knowledge filter than are incumbent firms; however, the analysis has only examined expanding economies and has relied on purely cross-sectional regression methodologies. This study explores the role of new and incumbent firms in penetrating the knowledge filter utilizing recent developments in spatial panel estimation techniques to provide a more robust set of findings. The results suggest that new firms are more proficient at penetrating the knowledge filter in declining and growing regions alike. JEL-classification: L26, O1, O18, O3, R1

show abstract

Specification and Estimation of Spatial Panel Data Models

Cited by 879 publications

References 46 publications

Maximum likelihood estimation and Lagrange multiplier tests for panel seemingly unrelated regressions with spatial lag and spatial errors: An application to hedonic housing prices in Paris

Maximum likelihood estimation and Lagrange multiplier tests for panel seemingly unrelated regressions with spatial lag and spatial errors: An application to hedonic housing prices in Paris

Econometric Evaluation of EU Cohesion Policy: A Survey

Penetrating the knowledge filter in “rust belt” economies

Contact Info

Product

Resources

About