Spatial panel data models using Stata

xsmle is a new command for spatial analysis using Stata. We consider the quasi-maximum likelihood estimation of a wide set of both fixedand randomeffects spatial models for balanced panel data. Of special note is that xsmle allows to handle unbalanced panels thanks to its full compatibility with the mi suite of commands, to use spatial weight matrices in the form of both Stata matrices and spmat objects, to compute direct, indirect and total marginal effects and related standard errors for linear (in variables) specifications, and to exploit a wide range of postestimation features, extending to the panel data case the predictors proposed by Kelejian and Prucha (2007). Moreover, it also allows the use of margins to compute total marginal effects in presence of nonlinear specifications obtained using factor variables. This paper describes the command and all its functionalities using both simulated and real data.