Panel VAR Models with Spatial Dependence

Mutl, Jan (March 2009) Panel VAR Models with Spatial Dependence. IHS Economics Series 237

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Abstract or Table of Contents

Abstract: I consider a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a spatial autoregressive process. I propose a three-step estimation procedure. Its first step is an instrumental variable estimation that ignores the spatial correlation. In the second step, the estimated disturbances are used in a multivariate spatial generalized moments estimation to infer the degree of spatial correlation. The final step of the procedure uses transformed data and applies standard techniques for estimation of panel vector-autoregressive models. I compare the small-sample performance of various estimation strategies in a Monte Carlo study.;

Item Type: IHS Series
Keywords: 'Spatial PVAR' 'Multivariate dynamic panel data model' 'Spatial GM' 'Spatial Cochrane-Orcutt transformation' 'Constrained maximum likelihood estimation'
Classification Codes (e.g. JEL): C13, C31, C33
Status: Published
Date Deposited: 26 Sep 2014 10:38
Last Modified: 22 Jul 2017 13:22
URI: http://irihs.ihs.ac.at/id/eprint/1916

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