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Re: st: Spatial VAR with time component


From   Federico Belotti <[email protected]>
To   [email protected]
Subject   Re: st: Spatial VAR with time component
Date   Mon, 12 Aug 2013 23:25:43 +0200

You may find it useful the -xsmle- command (written by myself, Gordon Hughes and Andrea Piano Mortari).
It implements the following estimators:

Fixed-effects:
Yu, J., R. de Jong, and L. F. Lee. 2008. Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both N and T are large. Journal of Econometrics 146: 118–134.

Random-effects:
Parent, O., and J. P. LeSage. 2009. Spatial dynamic panel data models with random effects. Working paper, Department of Economics, University of Cincinnati. 

-help xsmle- for more details.

Hope this helps,
Federico

On Aug 12, 2013, at 11:08 PM, Samuel Bailey wrote:

> Hello,
> 
> I have panel data of labor market variables for about 300 cities per
> quarter. I'd like to do a spatial autoregression similar to what i
> think --spreg-- does, but including a lagged version of the dependent
> variable as well, plus exogenous variables that change over time. In
> the end, I'd like to be able to estimate the coefficients of
> 
> Y_(t+1) = (I-aW)^(-1)(pY_t + bX_(t+1) + e_(t+1)),
> 
> where Y is the dependent variable, W the weighing matrix, X exogenous
> variables and e the error term.
> 
> I've been able to create a weighing matrix for each quarter and then
> use --spreg-- for a given quarter, but haven't found a simple way to
> also make use of the lagged terms over all times. Is there such a way?
> 
> (As a side note, not every quarter has data for every city. Right now
> I'm planning to just delete cities that don't appear in all times, but
> if someone knows a way to get around it that would also be
> appreciated.)
> 
> Sincerely,
> Sam Bailey
> *
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-- 
Federico Belotti, PhD
Research Fellow
Centre for Economics and International Studies
University of Rome Tor Vergata
tel/fax: +39 06 7259 5627
e-mail: [email protected]
web: http://www.econometrics.it


*
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*   http://www.ats.ucla.edu/stat/stata/


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