Estimation of Spatial Panel Data Models with Two-Way Error Component

In this paper, we construct a generalized spatial panel data model with two-way error components where the spatial correlation also exist in the individual effects. Based on the methods of the generalized moment estimate and the two-step least square estimate, we look for the best instrumental variable, fit generalized moments and the weighted matrix to discuss the estimator of the parameters, and prove the consistent of the estimators. Monte Carlo experiments show that the weighted generalized moment estimators are better than the unweighted generalized moment estimators, and the estimate effect of feasible generalized two stages least squares estimators is good.