Heterogeneous spatial dynamic panels with an application to US housing data. Issue 2 (3rd April 2023)

• Record Type: Journal Article
• Authors: Bao, Yong; Zhou, Xiaoyan
• Is Part Of: Spatial economic analysis. Volume 18:Issue 2(2023)
• Page Start: 259
• Page End: 285
• Publication Date: 2023-04-03
• Subjects: heterogeneous spatial dynamic panels -- Bayesian -- full conditional distributions -- real house price growth; C13 -- C23 -- R21 -- R31; Space in economics -- Periodicals; Economic geography -- Periodicals; Space in economics -- Econometric models -- Periodicals; Urbanization -- Periodicals; Espace (Économie politique) -- Périodiques; Économétrie -- Périodiques; Géographie économique -- Périodiques; Économie industrielle -- Périodiques; Économie du travail -- Périodiques; Économie urbaine -- Périodiques; Politique économique -- Périodiques; Relations économiques internationales -- Périodiques; 330.9
• DOI: 10.1080/17421772.2022.2118363
• Languages: English
• ISSNs: 1742-1772

Abstract

ABSTRACT: This paper proposes two models that incorporate both heterogeneity and multiple sources of spatial correlation for dynamic panels. One uses convex combinations of them to form a single weight matrix. The second one includes explicitly different spatial weight matrices to form a higher order model. We use a Bayesian scheme for model estimation by deriving the full conditional distributions of heterogeneous parameters. Our Monte Carlo experiments demonstrate their finite-sample performance relative to a baseline model. In our empirical study we find the importance of including both geographical and non-geographical information in capturing correlations in real house price growth in the United States.