The Spatial Autoregressive Panel Data Model with Spatial Moving Average Errors
GEOGRAPHICAL ANALYSIS(2024)
Abstract
This paper advocates the wider use of the spatial autoregressive (AR) panel data model with spatial moving average (MA) errors, individual and time effects, and different spatial weight matrices for each spatial lag. We demonstrate the practical relevance of this model, derive and investigate the asymptotic properties of a simple quasi maximum likelihood within estimator when N$$ N $$ is large and T$$ T $$ is finite, and provide an empirical example explaining military expenditures in 144 countries over the period 1993-2007.
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