Estimating individual effects and their spatial spillovers in linear panel data models

Identificador:  PC:2298

Handle: https://hdl.handle.net/20.500.11797/PC2298

Autors:  Manjón Antolín, Miquel Carlos,; Martínez Ibáñez, Oscar; Miranda, Karen

Resum:
Individual-specific effects and their spatial spillovers are generally not identified in linear panel data models. In this paper we present identification conditions under the assumption that covariates are correlated with the individual-specific effects. We also derive appropriate GLS and IV estimators for the resulting correlated random effects spatial panel data model with strictly-exogenous and predetermined explanatory variables, respectively. Lastly, we illustrate the proposed estimators using a Cobb-Douglas production function specification and US state-level data from Munnell (1990). As in previous studies, we find no evidence of public capital spillovers. However, the public capital does play a role in the positive spatial contagion of the nevertheless negative spillovers that states produce in and receive from their neighbours. Keywords: correlated random effects, spatial panel data. JEL Classification: C23