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Spatial Econometric Analysis Using GAUSS

Spatial Econometric Analysis Using GAUSS. 9 Kuan-Pin Lin Portland State University. Spatial Panel Data Analysis. The Model Representation Based on panel data models (pooled, fixed effects, random effects), we consider: Spatial Lag Model Spatial Error Model Spatial Error AR(1)

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Spatial Econometric Analysis Using GAUSS

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  1. Spatial Econometric AnalysisUsing GAUSS 9 Kuan-Pin LinPortland State University

  2. Spatial Panel Data Analysis • The Model Representation • Based on panel data models (pooled, fixed effects, random effects), we consider: • Spatial Lag Model • Spatial Error Model • Spatial Error AR(1) • Spatial Error MA(1) • Spatial Error Components • Spatial Mixed Model • T-first representation is more convenient to incorporate parametric spatial panel data analysis

  3. Spatial Panel Data Models

  4. Spatial Panel Data Models Spatial Lag Model

  5. Spatial Panel Data Models Spatial Error Model: AR(1), KKP (2006)

  6. Spatial Panel Data Models Spatial Error Model: AR(1)Alternative Specification, Anselin (1988)

  7. Spatial Panel Data Models Spatial Error Model: MA(1)

  8. Spatial Panel Data Models Spatial Error Components

  9. Spatial Panel Data Models Spatial Seemingly Unrelated Regressions

  10. Spatial Panel Data Models Spatial Mixed Model: Anselin AR(1)

  11. Spatial Panel Data Models Spatial Mixed Model: KKP AR(1)

  12. Spatial Model Specification Tests Based on panel data models (pooled, fixed effects, random effects), we consider: Moran Test LM Test and Robust LM Test Spatial Error Model Spatial Lag Model

  13. Spatial Model Specification Tests

  14. Moran’s I Test StatisticPooled Model Moran’s I Index Can not distinguish between spatial lag or spatial error

  15. Moran’s I Test StatisticFixed Effects Model Moran’s I Index Can not distinguish between spatial lag or spatial error

  16. LM-Error Test Statistic Pooled Model LM Test Statistic for Spatial Error

  17. LM-Error Test StatisticFixed Effects Model LM Test Statistic for Spatial Error

  18. LM-Error Test StatisticRandom Effects Model LM Test Statistic for Spatial Error See Baltagi, B. H., S. H. Song, W. Koh (2003).

  19. LM-Lag Test StatisticPooled Model LM Test Statistic for Spatial Lag

  20. LM-Lag Test StatisticFixed Effects Model LM Test Statistic for Spatial Lag

  21. LM-Lag Test StatisticRandom Effects Model LM Test Statistic for Spatial Lag See Baltagi, B., Liu, L. (2008).

  22. Hypothesis TestingExample • U. S. Productivity (munnell.3) • ln(GSP) = b0 + b1ln(Public) + b2ln(Private) + b3ln(Labor) + b4(Unemp) + e(numbers in parentheses are p-values of the tests)

  23. Hypothesis TestingExample • U. S. Productivity (munnell.3) • Pooled Model • Fixed Effects Model

  24. Hypothesis TestingAnother Example • China Provincial Productivity (china.7) • ln(Q) = a + bln(L) + gln(K) + e(numbers in parentheses are p-values of the tests)

  25. Hypothesis TestingAnother Example • China Provincial Productivity (china.7) • Pooled Model • Fixed Effects Model

  26. References • Anselin L., J. Le Gallo, and H. Jayet. 2008. Spatial Panel Econometrics. In The Econometrics of Panel Data, Fundamentals and Recent Developments in Theory and Practice (3rd Edition), eds. L. Matyas and P. Sevestre, 627-662. Springer-Verlag. • Baltagi, B. H., S. H. Song, W. Koh, “Test Panel Data Regression Models with Spatial Error Correlation,” Journal of Econometrics 117, 2003: 123-150. • Baltagi, B. H., S. H. Song, B. C. Jung, W. Koh, “Test for Serial Correlation, Spatial Autocorrelation and Random Effects Using Panel Data,” Journal of Econometrics 140, 2007: 5-51. • Baltagi, B., Liu, L. (2008) Testing for Random Effects and Spatial Lag Dependence in Panel Data Models. Statistics and Probability Letters, 78, 3304-3306. • Lee, L. F., and J. Yu, “Some Recent Developments in Spatial Panel Data Models,” Regional Science and Urban Economics,

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