Spatial Panel Data Models

Abstract

This chapter deals with spatial panel data models. Spatial panel models allow for cross-section dependence in the panel. Various general tests for cross-section dependence are studied in this chapter, as well as tests for spatial dependence across the panel. Estimation and testing using a spatial error component model are illustrated using Stata. This is also extended allowing for a spatial lag dependent variable panel model, possible dynamics, as well as a Hausman–Taylor spatial panel data model where time-invariant effects lost with a fixed effects spatial estimation are recaptured. Best linear unbiased forecasts with spatial panel models are derived and the effect of spatial correlation on panel unit root testing is studied.

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