Robust Dynamic Space-Time Panel Data Models Using ?-Contamination: An Application to Crop Yields and Climate Change

Arbeitspapier

This paper extends the Baltagi et al. (2018, 2021) static and dynamic ?-contamination papers to dynamic space-time models. We investigate the robustness of Bayesian panel data models to possible misspecification of the prior distribution. The proposed robust Bayesian approach departs from the standard Bayesian framework in two ways. First, we consider the ?-contamination class of prior distributions for the model parameters as well as for the individual effects. Second, both the base elicited priors and the ?-contamination priors use Zellner (1986)’s g-priors for the variance-covariance matrices. We propose a general “toolbox†for a wide range of specifications which includes the dynamic space- time panel model with random effects, with cross-correlated effects à la Chamberlain, for the Hausman-Taylor world and for dynamic panel data models with homogeneous/ heterogeneous slopes and cross-sectional dependence. Using an extensive Monte Carlo simulation study, we compare the finite sample properties of our proposed estimator to those of standard classical estimators. We illustrate our robust Bayesian estimator using the same data as in Keane and Neal (2020). We obtain short run as well as long run effects of climate change on corn producers in the United States.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IZA Discussion Papers ; No. 15815

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation ; Land Ownership and Tenure; Land Reform; Land Use; Irrigation; Agriculture and Environment ; Climate; Natural Disasters and Their Management; Global Warming
• Subject: crop yields ; panel data ; dynamic model ; space-time ; ε-contamination ; robust Bayesian estimator ; climate change

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Baltagi, Badi H. ; Bresson, Georges ; Chaturvedi, Anoop ; Lacroix, Guy
• Event: Veröffentlichung
• (who): Institute of Labor Economics (IZA)
• (where): Bonn
• (when): 2022

Further information

• Handle: http://hdl.handle.net/10419/272442
• Last update: 10.03.2025, 11:43 AM CET