SPATIAL PANELS: RANDOM COMPONENTS VERSUS FIXED EFFECTS*

• 成果类型: Article
• 署名作者: Lee, Lung-fei; Yu, Jihai
• 署名单位: Peking University; University System of Ohio; Ohio State University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2012.00724.x
• 发表日期: 2012
• 页码: 1369-1412
• 关键词: maximum likelihood estimators; time-series; regression-models; dynamic-models; cross-section; autocorrelation

摘要

This article investigates spatial panel data models with a spacetime filter in disturbances. We consider their estimation by both fixed effects and random effects specifications. With a between equation properly defined, the difference of the random versus fixed effects models can be highlighted. We show that the random effects estimate is a pooling of the within and between estimates. A Hausman-type specification test and an Lagrangian multiplier test are proposed for the testing of the random components specification versus the fixed effects specification.