DYNAMIC PANEL DATA MODELS WITH SPATIALLY CORRELATED DISTURBANCES

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dc.contributor.advisorPrucha, Ingmaren_US
dc.contributor.authorMutl, Janen_US
dc.contributor.departmentEconomicsen_US
dc.contributor.publisherDigital Repository at the University of Marylanden_US
dc.contributor.publisherUniversity of Maryland (College Park, Md.)en_US
dc.date.accessioned2006-09-12T05:36:50Z
dc.date.available2006-09-12T05:36:50Z
dc.date.issued2006-06-02en_US
dc.description.abstractThis thesis considers a dynamic panel data model with error components that are correlated both spatially (cross-sectionally) and time-wise. The model extends the literature on dynamic panel data models with cross-sectionally independent error components. The model for spatial dependence is a Cliff-Ord type model. We introduce a three step estimation procedure and give formal large sample results for the case of a finite time dimension. In particular, we show that a simple first stage instrumental variable (IV) estimator, that ignores the spatial correlation of the errors, is consistent and √N-consistent, where N denotes the cross-sectional dimension. We then extend the generalized moments estimator introduced by Kelejian and Prucha (1999) for estimating the spatial autoregressive parameter and show that if it is based on a √N-consistently estimated disturbances, it will also be consistent. Finally, we derive a large sample distribution of a second stage generalized method of moments (GMM) estimator based on a consistent estimator of the spatial autoregressive parameter. We also present results from a small Monte Carlo study to illustrate the small sample performance of the proposed estimation procedure.en_US
dc.format.extent1778977 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.urihttp://hdl.handle.net/1903/3729
dc.language.isoen_US
dc.subject.pqcontrolledEconomics, Generalen_US
dc.subject.pquncontrolledCross-Sectional Modelsen_US
dc.subject.pquncontrolledSpatial Modelsen_US
dc.subject.pquncontrolledModels with Panel Dataen_US
dc.subject.pquncontrolledDynamic panelsen_US
dc.subject.pquncontrolledSpatial Autocorrelationen_US
dc.titleDYNAMIC PANEL DATA MODELS WITH SPATIALLY CORRELATED DISTURBANCESen_US
dc.typeDissertationen_US

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