Panel VAR Models with Spatial Dependence

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


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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
Date Deposited: 26 Sep 2014 10:38
Last Modified: 27 Sep 2019 06:46
ISBN: 1605-7996

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