A1277
Title: A new methodology for estimating panel data models with complex spatial and temporal dependencies
Authors: Martin Konopasek - University of Economics and Business, Prague (Czech Republic) [presenting]
Abstract: The relationships between macroeconomic variables distributed over time and space can be highly complex. Therefore, when conducting empirical analysis, it is important to account for as many relevant characteristics of the examined variables as possible. The aim is to introduce a new dynamic panel regression model along with a corresponding estimation procedure to obtain consistent parameter estimates. The proposed model incorporates various features expected within macro-economic relationships, including spatial and temporal dynamics, spatially heterogeneous responses, heteroskedasticity, and random response parameters, while also accounting for endogenous regressors within a single framework.
