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International Regional Science Review, Vol. 26, No. 3, 244-268 (2003)
DOI: 10.1177/0160017603253791

Specification and Estimation of Spatial Panel Data Models

J. Paul Elhorst

University of Groningen, The Netherlands, J.P.Elhorst{at}eco.rug.nl

This article provides a survey of the specification and estimation of spatial panel data models. These models include spatial error autocorrelation, or the specification is extended with a spatially lagged dependent variable. In particular, the author focuses on the specification and estimation of four panel data models commonly used in applied research: the fixed effects model, the random effects model, the fixed coefficients model, and the random coefficients model. The survey discusses the asymptotic properties of the estimators and provides guidance with respect to the estimation procedures, which should be useful for practitioners.

Key Words: panel data • spatial dependence • maximum likelihood technique • spatial heterogeneity • spatial econometrics


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