Estimating spatial heterogeneous panel data: an Information- Theoretic approach

Abstract:- This paper introduces an entropy-based estimation strategy for spatial heterogeneous panel data models where separate processes for each unit are considered. The starting point is a general model specification which account for both temporal and spatial lagged effects in a panel data context by treating individual relationships as a system of seemingly unrelated regression equations. An empirical application is provided to demonstrate practical implementation of the GME estimator when one has to deal with estimation of ill-posed or ill-conditioned models in analyzing spatial structures