Publication Type
Journal Article
Version
submittedVersion
Publication Date
4-2026
Abstract
We consider spatial panel data models with genuine unbalancedness arising from the non-presence of some spatial units in certain time periods. General M-estimation methods are proposed for model estimation, which take into account the estimation of the incidental fixed effects parameters and allow for spatiotemporal heteroskedasticity and high-order time-varying spatial effects. Corrected plug-in methods are proposed for standard error estimation. The proposed estimation and inference methods are rigorously studied for their asymptotic properties and finite sample performance. An application to China’s provincial FDI inflows shows that properly accounting for genuine unbalancedness uncovers significant positive spatial spillovers that are masked when the data are artificially treated as balanced.
Keywords
Adjusted quasi score, fixed effects, genuine unbalancedness, high-order spatial effects, time-varying spatial weights, spatiotemporal heteroskedasticity
Discipline
Econometrics
Research Areas
Applied Microeconomics
Publication
Econometric Reviews
Volume
45
Issue
4
First Page
537
Last Page
563
ISSN
0747-4938
Identifier
10.1080/07474938.2025.2597865
Publisher
Taylor and Francis Group
Citation
MENG, Xiaoyu and YANG, Zhenlin.
Genuinely unbalanced spatial panel data models: Fixed effects M-estimation and inference. (2026). Econometric Reviews. 45, (4), 537-563.
Available at: https://ink.library.smu.edu.sg/soe_research/2890
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/10.1080/07474938.2025.2597865