Journal Article10.1111/PIRS.12178
Estimating standard errors in spatial panel models with time varying spatial correlation
Frank Davenport
- 01 Mar 2017
- Vol. 96, pp 155-177
4
TL;DR: The results suggest that the pattern of time varying spatial correlation does impact inference, but not as much as the W misspecification literature suggests.
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Abstract: We connect time varying spatial correlation patterns to examples in the theoretical and empirical literature. Then we use simulation experiments to compare the performance of estimation techniques that use spatial weights matrices (W) and those that do not. The results suggest that the pattern of time varying correlation does impact inference, but not as much as the W misspecification literature suggests. We find choosing the appropriate inferential method is less of a concern if the data generating process follows a hub-spoke correlation structure. Finally, we confirm earlier results that the cluster robust modifications proposed by Bester et al. (2011) perform well if the group sizes are chosen appropriately.
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