Spatial dynamic panel models with missing data

Abstract

Missing data are a common problem that researchers face in practice. In this article, we focus on the missing response problem for a spatial dynamic panel data (SDPD) model, which allows for both spatial and temporal dependencies. A logistic regression with a set of prespecified covariates is used to model the missingness mechanism, which is assumed to be missing at random (MAR). A weighted maximum likelihood estimator (WMLE) is proposed for parameter estimation in the presence of incomplete data. The associated asymptotic properties are investigated. Thereafter, we develop a novel imputation method, which makes use of the information from spatial dependence, temporal dependence and exogenous regression covariates. Lastly, the performance of WMLE and the proposed imputation method are demonstrated by both simulation studies and a real data example.