[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
IDEAS home Printed from https://ideas.repec.org/a/taf/jnlbes/v41y2023i2p608-623.html
   My bibliography  Save this article

Simultaneous Spatial Panel Data Models with Common Shocks

Author

Listed:
  • Lina Lu
Abstract
We consider a simultaneous spatial panel data model, jointly modeling three effects: simultaneous effects, spatial effects and common shock effects. This joint modeling and consideration of cross-sectional heteroscedasticity result in a large number of incidental parameters. We propose two estimation approaches, a quasi-maximum likelihood method and an iterative generalized principal components method. We develop full inferential theories for the estimation approaches and study the tradeoff between the model specifications and their respective asymptotic properties. We further investigate the finite sample performance of both methods using Monte Carlo simulations. We find that both methods perform well and that the simulation results corroborate the inferential theories. Some extensions of the model are considered. Finally, we apply the model to analyze the relationship between trade and gross domestic product using a panel data over time and across countries.

Suggested Citation

  • Lina Lu, 2023. "Simultaneous Spatial Panel Data Models with Common Shocks," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 608-623, April.
    • Handle: RePEc:taf:jnlbes:v:41:y:2023:i:2:p:608-623
    DOI: 10.1080/07350015.2022.2046007
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/07350015.2022.2046007
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/07350015.2022.2046007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jnlbes:v:41:y:2023:i:2:p:608-623. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/UBES20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.