Publication Type
Journal Article
Version
submittedVersion
Publication Date
4-2026
Abstract
We consider estimation and inferences for general spatial panel data models with randomly missing observations on responses. It allows for unobserved spatiotemporal heterogeneity, time-varying endogenous and contextual spatial interactions, time-varying cross-sectional error dependence, and serial correlation. A general M-estimation method is proposed for model estimation and a novel corrected plug-in method is proposed for model inference. Both take into account the estimation of fixed effects. Asymptotic properties of the proposed methods are studied, and finite sample properties are investigated. An empirical application is given using U.S. state tax competition data. The proposed methods apply to matrix exponential spatial specification and can be further extended to include higher-order spatial effects.
Keywords
Adjusted quasi score, Fixed effects, Missing responses, Serial correlation, Spatial interactions, Time-varying spatial weights
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Business and Economic Statistics
Volume
44
Issue
2
First Page
450
Last Page
464
ISSN
0735-0015
Identifier
10.1080/07350015.2025.2539470
Publisher
Taylor and Francis Group
Citation
MENG, Xiaoyu and YANG, Zhenlin.
Fixed effects estimation of spatial panel model with missing responses: An application to US state tax competition. (2026). Journal of Business and Economic Statistics. 44, (2), 450-464.
Available at: https://ink.library.smu.edu.sg/soe_research/2888
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1080/07350015.2025.2539470