Jia Chen, Guowei Cui, Vasilis Sarafidis, Takashi Yamagata
arXiv 30 Jan 2025 · Econometrics · 2 citations (OpenAlex)
arXiv:2501.18467 · PDF · DOI · OpenAlex · Extracted main text
This paper develops a Mean Group Instrumental Variables (MGIV) estimator for spatial dynamic panel data models with interactive effects, under large N and T asymptotics. Unlike existing approaches that typically impose slope-parameter homogeneity, MGIV accommodates cross-sectional heterogeneity in slope coefficients. The proposed estimator is linear, making it computationally efficient and robust. Furthermore, it avoids the incidental parameters problem, enabling asymptotically valid inferences without requiring bias correction. The Monte Carlo experiments indicate strong finite-sample performance of the MGIV estimator across various sample sizes and parameter configurations. The practical utility of the estimator is illustrated through an application to regional economic growth in Europe. By explicitly incorporating heterogeneity, our approach provides fresh insights into the determinants of regional growth, underscoring the critical roles of spatial and temporal dependencies.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cui, G., Sarafidis, V., Yamagata, T (2023) IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward… self | 0.928 | 4 | 3 | 100% |
| 2 | Pesaran, M.H (2006) Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure | 0.928 | 4 | 3 | 100% |
| 3 | Norkutė, M., Sarafidis, V., Yamagata, T., Cui, G (2021) Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure self | 0.860 | 11 | 5 | 64% |
| 4 | Bai, J (2009) Panel data models with interactive fixed effects | 0.843 | 3 | 3 | 100% |
| 5 | Bai, J (2003) Inferential theory for factor models of large dimensions | 0.737 | 5 | 4 | 40% |
| 6 | Chen, J., Shin, Y., Zheng, C (2022) Estimation and inference in heterogenous spatial panel data models with a multifactor error structure self | 0.737 | 3 | 2 | 100% |
| 7 | Elhorst, P., Tziolas, I., Tan, C., Milionis, P (2024) The distance decay effect and spatial reach of spillovers | 0.644 | 4 | 1 | 100% |
| 8 | Elhorst, P (2014) Spatial Econometrics: From Cross-Sectional Data to Spatial Panels | 0.644 | 2 | 2 | 100% |
| 9 | Kripfganz, S., Sarafidis, V (2025) Estimating Spatial Dynamic Panel Data Models with Unobserved Common Factors in Stata self | 0.644 | 2 | 2 | 100% |
| 10 | Lee, L-F., Yu, J (2014) Efficient GMM estimation of spatial dynamic panel data models with fixed effects | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 69 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Chasing Opportunity: Spillovers and Drivers of U.S. State Population Growth | 1.000 | 6 | 3 |