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Spatial panel data models using Stata

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Abstract
xsmle is a new command for spatial analysis using Stata. We consider the quasi-maximum likelihood estimation of a wide set of both fixed- and random- effects 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 effects 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.

Suggested Citation

  • Federico Belotti & Gordon Hughes & Andrea Piano Mortari, 2016. "Spatial panel data models using Stata," CEIS Research Paper 373, Tor Vergata University, CEIS, revised 28 Jul 2016.
    • Handle: RePEc:rtv:ceisrp:373
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    More about this item

    Keywords

    st000; spatial analysis; panel data; maximum likelihood estimation.;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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