Arbeitspapier
Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity
This paper considers a class of GMM estimators for general dynamic panel models, allowing for cross sectional dependence due to spatial lags and due to unspecified common shocks. We significantly expand the scope of the existing literature by allowing for endogenous spatial weight matrices, time-varying interactive effects, as well as weakly exogenous covariates. The model is expected to be useful for empirical work in both macro and microeconomics. An important area of application is in social interaction and network models where our specification can accommodate data dependent network formation. We discuss explicit examples from the recent social interaction literature. Identification of spatial interaction parameters is achieved through a combination of linear and quadratic moment conditions. We develop an orthogonal forward differencing transformation to aid in the estimation of factor components while maintaining orthogonality of moment conditions. This is an important ingredient to a tractable asymptotic distribution of our estimators. In the social interactions example, orthogonal forward differencing amounts to controlling for unobserved correlated effects by combining multiple outcome measures.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 5445
- Classification
-
Wirtschaft
Econometrics
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Event
-
Geistige Schöpfung
- (who)
-
Kuersteiner, Guido M.
Prucha, Ingmar R.
- Event
-
Veröffentlichung
- (who)
-
Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2015
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kuersteiner, Guido M.
- Prucha, Ingmar R.
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2015
Other Objects (12)
A conditional approach to panel data models with common shocks
Sequential identification of technological news shocks
Sequential identification of technological news shocks
Sequential bargaining with pure common values
Private Information in Sequential Common-Value Auctions
Nonparametric regression with common shocks
Forecasting with spatial panel data
Forecasting with spatial panel data
Common shocks and relative compensation schemes
Common Monetary Policy with Asymmetric Shocks
On the use of menus in sequential common agency
Panel VAR models with spatial dependence
A conditional approach to panel data models with common shocks
Sequential identification of technological news shocks
Sequential identification of technological news shocks
Sequential bargaining with pure common values
Private Information in Sequential Common-Value Auctions
Nonparametric regression with common shocks
Forecasting with spatial panel data
Forecasting with spatial panel data
Common shocks and relative compensation schemes
Common Monetary Policy with Asymmetric Shocks
On the use of menus in sequential common agency
Panel VAR models with spatial dependence
A conditional approach to panel data models with common shocks
Sequential identification of technological news shocks
Sequential identification of technological news shocks
Sequential bargaining with pure common values
Private Information in Sequential Common-Value Auctions
Nonparametric regression with common shocks
Forecasting with spatial panel data
Forecasting with spatial panel data
Common shocks and relative compensation schemes
Common Monetary Policy with Asymmetric Shocks
On the use of menus in sequential common agency