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Estimating and forecasting with a dynamic spatial panel data model

Baltagi, Badi H., Fingleton, Bernard and Pirotte, Alain (2011) Estimating and forecasting with a dynamic spatial panel data model. SERC Discussion Papers (SERCDP095). Spatial Economics Research Centre, London School of Economics and Political Science, London, UK.

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This paper focuses on the estimation and predictive performance of several estimators for the dynamic and autoregressive spatial lag panel data model with spatially correlated disturbances. In the spirit of Arellano and Bond (1991) and Mutl (2006), a dynamic spatial GMM estimator is proposed based on Kapoor, Kelejian and Prucha (2007) for the Spatial AutoRegressive (SAR) error model. The main idea is to mix non-spatial and spatial instruments to obtain consistent estimates of the parameters. Then, a linear predictor of this spatial dynamic model is derived. Using Monte Carlo simulations, we compare the performance of the GMM spatial estimator to that of spatial and non-spatial estimators and illustrate our approach with an application to new economic geography.

Item Type: Monograph (Discussion Paper)
Official URL:
Additional Information: © 2011 The Authors
Divisions: Spatial Economics Research Centre
Subjects: H Social Sciences > HA Statistics
Q Science > QA Mathematics
JEL classification: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C33 - Models with Panel Data
Date Deposited: 28 Jul 2014 09:21
Last Modified: 11 Dec 2020 00:36
Funders: Economic and Social Research Council, Department for Business, Innovation & Skills (BIS), Welsh Assembly Government

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