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SPATIAL PANELS: RANDOM COMPONENTS VERSUS FIXED EFFECTS *
Author(s) -
Lee Lungfei,
Yu Jihai
Publication year - 2012
Publication title -
international economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.658
H-Index - 86
eISSN - 1468-2354
pISSN - 0020-6598
DOI - 10.1111/j.1468-2354.2012.00724.x
Subject(s) - hausman test , fixed effects model , random effects model , pooling , specification , panel data , mathematics , fixed point , random field , multiplier (economics) , econometrics , computer science , statistics , economics , mathematical analysis , medicine , meta analysis , artificial intelligence , macroeconomics
This article investigates spatial panel data models with a space–time filter in disturbances. We consider their estimation by both fixed effects and random effects specifications. With a between equation properly defined, the difference of the random versus fixed effects models can be highlighted. We show that the random effects estimate is a pooling of the within and between estimates. A Hausman‐type specification test and an Lagrangian multiplier test are proposed for the testing of the random components specification versus the fixed effects specification.