Instrumental Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects

By Badi H. Baltagi, Long Liu. 2011

66 citations recorded by the source corpus.

This paper extends the instrumental variable estimators of Kelejian and Prucha (1998) and Lee (2003) proposed for the cross-sectional spatial autoregressive model to the random effects spatial autoregressive panel data model. It also suggests an extension of the Baltagi (1981) error component 2SLS estimator to this spatial panel model.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/7365734253ed24998e6371786fccbf12e0028ca2

How researchers see this paper

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In Economics and Econometrics

1. Gianfranco Piras
2. Giovanni Millo
3. Ying Deng
4. Badi H. Baltagi
5. J. Paul Elhorst
6. Jihai Yu
7. Simplice A. Asongu
8. Lung-fei Lee

Citations in the corpus

• EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects (2015, methodology): “Spatial error component two-stage least square estimators (SEC-2SLS) proposed by Baltagi and Liu (2011) can be applied by running GLS estimation on the following system”
• splm: Spatial Panel Data Models in R (2012, methodology): “They suggest to replace OLS with spatial two stage least squares within residuals (Baltagi and Liu 2011).”