Spatial Panel Data Models Using Stata

Belotti FedericoHughes GordonPiano Mortari Andrea
CEIS Research Paper
xsmle is a new command for spatial analysis using Stata. We consider the quasi-maximum likelihood estimation of a wide set of both xed- and random- e ects spatial models for balanced panel data. Of special note is that xsmle allows to handle unbalanced panels thanks to its full compatibility with the mi suite of commands, to use spatial weight matrices in the form of both Stata matrices and spmat objects, to compute direct, indirect and total e ects according to the procedure outlined in LeSage and Pace (2009), and to exploit a wide range of postestimation features, extending to the panel data case the predictors proposed by Kelejian and Prucha (2007). This paper describes the command and all its functionalities using both simulated and real data.

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Number: 373
Keywords: st000, spatial analysis, panel data, maximum likelihood estimation.
JEL codes: C23,C33,C87
Volume: 14
Issue: 5
Date: Friday 25 March 2016
Revision Date: Thursday 28 July 2016