SPATIAL PANELS: RANDOM COMPONENTS VERSUS FIXED EFFECTS*

被引：62

作者：

Lee, Lung-fei

Yu, Jihai ^{[1
]}

机构：

[1] Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China

来源：

INTERNATIONAL ECONOMIC REVIEW | 2012年 / 53卷 / 04期

关键词：

MAXIMUM LIKELIHOOD ESTIMATORS; TIME-SERIES; REGRESSION-MODELS; DYNAMIC-MODELS; CROSS-SECTION; AUTOCORRELATION;

D O I：

10.1111/j.1468-2354.2012.00724.x

中图分类号：

F [经济];

学科分类号：

02 ;

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.

引用

页码：1369 / 1412

页数：44

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