Spatial Panels: Random Components vs. Fixed E¤ects
نویسندگان
چکیده
This paper investigates spatial panel data models with a space-time lter in disturbances. We consider their estimation by both xed e¤ects and random e¤ects speci cations. With a between equation properly de ned, the di¤erence of the random vs. xed e¤ects models can be highlighted. We show that the random e¤ects estimate is a pooling of the within and between estimates. A Hausman type speci cation test and an LM test are proposed for the testing of the random components speci cation vs. the xed e¤ects speci cation. We then discuss the case for panels with time e¤ects included. After time e¤ects are eliminated, we develop xed e¤ects and random e¤ects estimates. We show that the within estimate is asymptotically as e¢ cient as the random e¤ects estimate when T is large. JEL classi cation: C13; C23; R15 Keywords: Spatial autoregression, Panel data, Space-time lter, Random components, Fixed e¤ects, Maximum likelihood estimation, Pooling An earlier version of this paper has been presented in the 2010 North American Winter Meeting of the Econometric Society in Atlanta, Georgia and an Econometrics Seminar of SUNY at Albany. We thank Kajal Lahiri and audiences for valuable comments.
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