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)  Spatial Error MA(1)  Spatial Error Components Spatial Mixed Model T-first representation is more convenient to incorporate parametric spatial panel data analysis

Spatial Panel Data Models PooledFixed EffectsRandom Effects Spatial Lag Model Spatial error Model Spatial Mixed Model

Spatial Panel Data Models Spatial Lag Model

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

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

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

Spatial Panel Data Models Spatial Error Components

Spatial Panel Data Models Spatial Seemingly Unrelated Regressions

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

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

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

Spatial Model Specification Tests PooledFixed EffectsRandom Effects Moran’s I  LM-Error  LM-Lag  Robust LM-Error  Robust LM-Lag 

Moran’s I Test Statistic Pooled Model Moran’s I Index Can not distinguish between spatial lag or spatial error

Moran’s I Test Statistic Fixed Effects Model Moran’s I Index Can not distinguish between spatial lag or spatial error

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

LM-Error Test Statistic Fixed Effects Model LM Test Statistic for Spatial Error

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

LM-Lag Test Statistic Pooled Model LM Test Statistic for Spatial Lag

LM-Lag Test Statistic Fixed Effects Model LM Test Statistic for Spatial Lag

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

Hypothesis Testing Example U. S. Productivity (munnell.3)munnell.3 ln(GSP) =   +   ln(Public) +  2 ln(Private) +  3 ln(Labor) +  4 (Unemp) +  (numbers in parentheses are p-values of the tests) Moran-ILM-errLM-lag ln(GSP)8.88 (0.0) (0.0) (0.0) ln(Public)7.76 (0.0) (0.0) (0.0) ln(Private)9.92 (0.0) (0.0) (0.0) Unemp10.19 (0.0) (0.0) (0.0)

Hypothesis Testing Example U. S. Productivity (munnell.3)munnell.3 Pooled Model Fixed Effects Model Moran-ILM-errLM-lag Robust LM-err Robust LM-lagHetero (0.0) (0.0) (0.733) (0.0) (0.08) (0.0) Moran-ILM-errLM-lag Robust LM-err Robust LM-lagHetero (0.0) (0.0) (0.0) (0.0) 5.72 (0.02) (0.0)

Hypothesis Testing Another Example China Provincial Productivity (china.7)china.7 ln(Q) =  +  ln(L) +  ln(K) +  (numbers in parentheses are p-values of the tests) Moran-ILM-errLM-lag ln(Q)5.725 (0.0) (0.0) (0.0) ln(L)5.396 (0.0) (0.0) (0.0) ln(K)11.2 (0.0) (0.0) (0.0)

Hypothesis Testing Another Example China Provincial Productivity (china.7)china.7 Pooled Model Fixed Effects Model Moran-ILM-errLM-lag Robust LM-err Robust LM-lagHetero (0.0) (0.0) (0.147) (0.0) (0.02) (0.06) Moran-ILM-errLM-lag Robust LM-err Robust LM-lagHetero (0.0) (0.0) (0.0) (0.038) (0.0) (0.992)

References Anselin L., J. Le Gallo, and H. Jayet 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, Springer-Verlag. Baltagi, B. H., S. H. Song, W. Koh, “Test Panel Data Regression Models with Spatial Error Correlation,” Journal of Econometrics 117, 2003: 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: Baltagi, B., Liu, L. (2008) Testing for Random Effects and Spatial Lag Dependence in Panel Data Models. Statistics and Probability Letters, 78, Lee, L. F., and J. Yu, “Some Recent Developments in Spatial Panel Data Models,” Regional Science and Urban Economics,