XSMLE: Stata module for spatial panel data models estimation

Econometricians have begun to devote more attention to spatial interactions when carrying out applied econometric studies. We provide the new Stata command -xsmle-, which fits fixed and random-effects spatial models for balanced panel data for a wide range of specifications: Spatial Autoregressive Model (SAR), Spatial Error Model (SEM), Spatial Durbin Model (SDM), Spatial Autoregressive Model with Autoregressive Disturbances (SAC), Generalized Spatial Random-effects Model (GSPRE). -xsmle- allows to specify the weighting matrix as a Stata matrix or a -spmat- object. Furthermore, -xsmle- computes direct, indirect and total spatial effects according to LeSage (2008), implements Lee and Yu (2010) data transformation for fixed-effects models and may be used with the -mi- prefix command when the panel is unbalanced.