Heterogeneous spatial dynamic panels with an application to US housing data

This paper proposes two models that incorporate both heterogeneity and multiple sources of spatial correlation for dynamic panels. One uses convex combinations them to form a single weight matrix. The second one includes explicitly different matrices higher order model. We use Bayesian scheme model estimation by deriving the full conditional distributions heterogeneous parameters. Our Monte Carlo experiments demonstrate their finite-sample performance relative baseline In our empirical study we find importance including geographical non-geographical information in capturing correlations real house price growth United States.