Tools for Analyzing Model Dynamics in Spatial Dynamic Panel Data Models

Spatial dynamic panel data (SDPD) models have become increasingly popular in recent years. SDPD models are able to account for dynamic effects among model variables across both time and space. Most of the emphasis in the literature is placed on estimation and inference, and little attention is placed on the analysis of model dynamics. This paper introduces a number of new tools for understanding model dynamics of SDPD models. The approach is inspired by analytical tools used in other contexts, they are easy to calculate, and they are very intuitive. The tools are illustrated with an empirical application to U.S. house prices.