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Estimating individual effects and their spatial spillovers in linear panel data models
Miranda, Karen; Martínez Ibáñez, Oscar; Manjón Antolín, Miquel Carlos,
Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
Individual-specific effects and their spatial spillovers are generally not identified in linear panel data models. In this paper we present identification conditions under the assumption that covariates are correlated with the individual-specific effects. We also derive appropriate GLS and IV estimators for the resulting correlated random effects spatial panel data model with strictly-exogenous and predetermined explanatory variables, respectively. Lastly, we illustrate the proposed estimators using a Cobb-Douglas production function specification and US state-level data from Munnell (1990). As in previous studies, we find no evidence of public capital spillovers. However, the public capital does play a role in the positive spatial contagion of the nevertheless negative spillovers that states produce in and receive from their neighbours. Keywords: correlated random effects, spatial panel data. JEL Classification: C23
33 - Economia
Anàlisi de dades de panel
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29 p.
Working Paper
Universitat Rovira i Virgili. Departament d'Economia
Documents de treball del Departament d'Economia;2015-26

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