Spatial panels: random components vs. xed e¤ects
نویسندگان
چکیده
This paper investigates spatial panel data models with spatially and serially correlated disturbances. We rst discuss the short panels and 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 also 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 long panels with time e¤ects included. After the time e¤ects are eliminated, we develop the xed e¤ects and random e¤ects estimates, and show that the within estimate is asymptotically as e¢ cient as the random e¤ects estimate. JEL classi cation: C13; C23; R15
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