Specification and estimation of spatial panel data models

This article provides a survey of the specification and estimation of spatial panel data models. These models include spatial error autocorrelation, or the specification is extended with a spatially lagged dependent variable. In particular, the author focuses on the specification and estimation of four panel data models commonly used in applied research: the fixed effects model, the random effects model, the fixed coefficients model, and the random coefficients model. The survey discusses the asymptotic properties of the estimators and provides guidance with respect to the estimation procedures, which should be useful for practitioners.