Identification of Spatial Durbin Panel Models (replication data)

DOI

This paper considers identification of spatial Durbin dynamic panel models under 2SLS and ML estimations. We show that the parameters are generally identified via 2SLS moment relations or expected log-likelihood or quasi-likelihood functions. Monte Carlo experiments suggest that omitting relevant Durbin terms can result in significant biases in regression estimates, while including an irrelevant Durbin term causes no obvious loss of efficiency. Empirical illustration of the international spillover of economic growth through bilateral trade shows that inclusion of Durbin terms can be important.

Identifier
DOI https://doi.org/10.15456/jae.2022326.0656458037
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:775563
Provenance
Creator Lee, Lung-fei; Yu, Jihai
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2016
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics; Social and Behavioural Sciences