Need Elhorst Codes for running Spatial Dynamic Panel data Models

Actually I am working on micropanel data where I am intend to use spatial dynamic panel data estimation through GMM. Elhorst has provided the MATLAB codes for running such model. But I could not get that codes. Please help me out by providing the codes.

Answer 1

[Avni Agrawal]

Hi,

I understand that you are trying to perform spatial dynamic panel data estimation using GMM in MATLAB, follow these steps:

1. Organize your panel data and spatial weights matrix.

2. Ensure you have the necessary MATLAB toolboxes, like the Econometrics Toolbox.

3. Define your model with spatial and temporal dynamics. Use GMM to estimate parameters.

Here's a simple MATLAB code outline:

% Load data and spatial weights matrix
data = load('your_data.mat');
W = load('spatial_weights.mat');

% Initialize parameters
rho_init = 0.5;
beta_init = zeros(size(data.X, 2), 1);

% Define GMM objective function
gmm_objective = @(params) gmm_criterion(data, W, params);

% Estimate parameters using GMM
options = optimoptions('fminunc', 'Algorithm', 'quasi-newton');
params_estimated = fminunc(gmm_objective, [rho_init; beta_init], options);

% Display results
disp('Estimated Parameters:');
disp(params_estimated);

For Elhorst's specific code, check his publications or official website, where he might share MATLAB scripts or toolboxes.

• Econometrics Toolbox: This toolbox provides functions for econometric modeling and analysis.

I hope this helps