Baltagi generalized mixed regressive spatial autoregressive panel data article published in ER
Mar 31, 2016
Random Effects, Fixed Effects and Hausman's Test for the Generalized Mixed Regressive Spatial Autoregressive Panel Data Model
Badi H. Baltagi & Long Liu
Econometric Reviews, March 2016
This article suggests random and fixed effects spatial two-stage least squares estimators for the generalized mixed regressive spatial autoregressive panel data model. This extends the generalized spatial panel model of Baltagi et al. (2013) by the inclusion of a spatial lag term. The estimation method utilizes the Generalized Moments method suggested by Kapoor et al. (2007) for a spatial autoregressive panel data model. We derive the asymptotic distributions of these estimators and suggest a Hausman test a la Mutl and Pfaffermayr (2011) based on the difference between these estimators. Monte Carlo experiments are performed to investigate the performance of these estimators as well as the corresponding Hausman test.