TY  - RPRT
        AU  - Baltagi, Badi H.
AU  - Fingleton, Bernard
AU  - Pirotte, Alain
        TI  - A Time-Space Dynamic Panel Data Model with Spatial Moving Average Errors
        PY  - 2018/Jun/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 11587
        UR  - https://www.iza.org/index.php/publications/dp11587
        AB  - This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel data model with Spatial Moving Average Random Effects (SMA-RE) structure of the disturbances. A dynamic spatial Generalized Moments (GM) estimator is proposed which combines the approaches proposed by Baltagi, Fingleton and Pirotte (2014) and Fingleton (2008). The main idea is to mix non-spatial and spatial instruments to obtain consistent estimates of the parameters.
Then, a forecasting approach is proposed and a linear predictor is derived. Using Monte Carlo simulations, we compare the short-run and long-run effects and evaluate the predictive efficiencies of optimal and various suboptimal predictors using the Root Mean Square Error (RMSE) criterion. Last, our approach is illustrated by an application in geographical economics which studies the employment levels across 255 NUTS regions of the EU over the period 2001–2012, with the last two years reserved for prediction.
        KW  - prediction
KW  - moving average
KW  - direct and indirect effects
KW  - spatial autocorrelation
KW  - GM
KW  - within
KW  - OLS
KW  - dynamic
KW  - time-space
KW  - error components
KW  - spatial lag
KW  - panel data
KW  - simulations
KW  - rook contiguity
KW  - interregional trade
        ER  -