SIMULTANEOUS SPATIAL DURBIN FOR PANEL DATA WITH TWO WAY ERROR COMPONENT MODEL

PDF

Published: 2022-12-07

DOI: 10.56557/ajomcor/2022/v29i37954

Page: 10-24


AGUS MUSLIM *

Department of Statistics, IPB University, Bogor-16680, Indonesia.

I. MADE SUMERTAJAYA

Department of Statistics, IPB University, Bogor-16680, Indonesia.

NOER AZAM ACHSANI

School of Business, IPB University, Bogor-16680, Indonesia.

I. GUSTI PUTU PURNABA

Department of Mathematics, IPB University , Bogor-16680, Indonesia.

UTAMI DYAH SYAFITRI

Department of Statistics, IPB University, Bogor-16680, Indonesia.

*Author to whom correspondence should be addressed.


Abstract

This study developed a Simultaneous Spatial model for panel data using Simultaneous Spatial Durbin Model for panel data with two way error component by using Generalized Spatial Two Stage Least Square (SSDPDTWEC GS2SLS). Based on the results of the simulation data, it can be concluded that the SSDPDTWEC GS2SLS model is better than Simultaneous Spatial Durbin for panel data with one way error component using Spatial Two Stage Least Square (SSDPDONWEC S2SLS), SSDPDONWEC GS2SLS, and SSDPDTWEC S2SLS, because it has a smaller mean of square error (MSE) and has a larger coefficient of determination (R Square) value.

Based on the results of the SSDPDTWEC GS2SLS Model to endogenous economics growth data in Indonesia from 2015-2020, it can be concluded that Gross Regional Domestics Product (GRDP) is significantly affected by Human Development Index (HDI), Poverty (POOR), spatial dependencies of the HDI (WHDI), spatial dependencies of poverty (WPOOR) and spatial dependencies of GRDP (WGRDP), while Information and Communication Technology Development Index (ICTDI) and spatial dependencies of ICTDI (WICTDI) have no significant effect on GRDP. For ICTDI is significantly affected by HDI, WHDI and WICTDI, while GRDP, Direct Expenditure (DE), WGRDP and spatial dependencies of direct expenditure (WDE) have no significant effect on ICTDI. HDI variable is significantly affected by ICTDI, WICTDI, and WHDI while GRDP and WGRDP have no significant effect on HDI. There is no spatial simultaneity relationship between GRDP and HDI as well as GRDP and ICTDI, while between ICTDI and HDI there is a spatial simultaneous relationship.

Keywords: Simultaneous spatial Durbin panel data, two way error component


How to Cite

MUSLIM, A., SUMERTAJAYA, I. M., ACHSANI, N. A., PURNABA, I. G. P., & SYAFITRI, U. D. (2022). SIMULTANEOUS SPATIAL DURBIN FOR PANEL DATA WITH TWO WAY ERROR COMPONENT MODEL. Asian Journal of Mathematics and Computer Research, 29(3), 10–24. https://doi.org/10.56557/ajomcor/2022/v29i37954

Downloads

Download data is not yet available.

References

Kelejian HH, Prucha IR. Estimation of simultaneous systems of spatially interrelated cross sectional equations. J Econ. 2004;118(1-2):27-50.

DOI: 10.1016/S0304-4076(03)00133-7

Elhorst JP. Spatial econometrics from cross-sectional data to spatial panels. Springer; 2014.

LeSage JP. The theory and practice of spatial econometrics. Vol. 28(11). Toledo, OH: University of Toledo; 1999.

Anselin L. A test for spatial autocorrelation in seemingly unrelated regressions. Econ Lett. 1988;28(4):335-41.

DOI: 10.1016/0165-1765(88)90009-2

Baltagi BH, Liu L. Instrumental variable estimation of a spatial autoregressive panel model with random effects. Econ Lett. 2011;111(2):135-7.

DOI: 10.1016/j.econlet.2011.01.016

Deng Y. ’Essays on Estimation and Inference for Spatial Economic Models,’ economics – dissertations. Maxwell school of citizenship and public affairs. 2013;102.

Kapoor M, Kelejian HH, Prucha IR. Panel data models with spatially correlated error components. J Econ. 2007;140(1):97-130.

DOI: 10.1016/j.jeconom.2006.09.004

Kelejian HH, Prucha IR. A generalized spatial two-stage least squares procedure for estimating a spatial autoregressive model with autoregressive disturbances. J Real Estate Fin Econ. 1998;17(1):99-121.

DOI: 10.1023/A:1007707430416

Mustaqim, setiawan, suhartono. Efficient estimation of Simultaneous equations of spatial. AIP Conf Proc. 2021;60024(2018).

Gebremariam GH, Gebremedhin T, Schaeffer PV, Phipps T, Jackson R. A spatial panel simultaneous-equations model of business growth, migration behavior, local public services and household income in Appalachia; 2007.

Baltagi BH, Deng Y. EC3SLS estimator for a simultaneous system of spatial autoregressive equations with random effects. Econ Rev. 2015;34(6-10):659-94.

DOI: 10.1080/07474938.2014.956030

Cochrane W, Grimes A, McCann P, Poot J. Spatial impacts of endogenously determined infrastructure investment. In: Socioeconomic environmental policies and evaluations in regional science. Springer. 2017;227-47.

DOI: 10.1007/978-981-10-0099-7_12

Hezareh R, Shayanmehr S, Darbandi E, Schieffer J. Energy consumption and environmental pollution: evidence from the spatial panel simultaneous-equations model of Developing Countries; 2017.

Amba M, Mbratana T. ’Simultaneous equation models with spatially autocorrelated error components,’ available at SSRN 3064660; 2017.

Sirait T, Sumertajaya IM, Mangku IW, Asra A, Siregar H. Multivariate spatial error three-stage least squares fixed effect panel: simultaneous models and estimation of their parameters. Far East J Math Sci. 2017;102(12):2941-70.

DOI: 10.17654/MS102122941

Sirait T. Multivariate general spatial three-stage least squares fixed effect panel simultaneous models and estimation of their parameters. WSEAS Trans Math. 2020;19:373-83.

DOI: 10.37394/23206.2020.19.38

Kelejian HH, Prucha IR, Yuzefovich Y. Instrumental variable estimation of a spatial autoregressive model with autoregressive disturbances: large and small sample results. Spat Spatiotemporal Econ. 2004;18:163-98.

Andren T. Econometrics. Thomas Andren ventus publishing APS; 2005.

Gujarati D. Basic econometrics Tata McGraw-Hill Education; 2009.

Kelejian HH, Prucha IR. A generalized moments estimator for the autoregressive parameter in a spatial model. Int Econ Rev. 1999;40(2):509-33.

DOI: 10.1111/1468-2354.00027

BH. Baltagi and others. Econometric analysis of panel data, vol. 4. Springer, 2008.

Amba M, Mbratana T. ’Spatial Incomplete Panel Data Models with Two-Way Error Components,’ available at SSRN 3333832; 2019.

Jones CI. Paul Romer: ideas, nonrivalry, and endogenous growth. Scand J Econ. 2019;121(3):859-83.

DOI: 10.1111/sjoe.12370

Zhang J, Danish. The dynamic linkage between information and communication technology, human development index, and economic growth: evidence from Asian economies. Environ Sci Pollut Res Int. 2019;26(26):26982-90.

DOI: 10.1007/s11356-019-05926-0, PMID 31313229.

Ranis G, Stewart F, Ramirez A. Economic growth and human development. World Dev. 2000;28(2):197-219.

DOI: 10.1016/S0305-750X(99)00131-X