Before revision:  Monte Carlo experiments show that, for the spatial panel data model with fixed effects and T = 2, the saddlepoint approximation yields accuracy improvements over the routinely applied first-order asymptotics and Edgeworth expansions, in small to moderate sample sizes, while preserving analytical tractability.
After revision:  Monte Carlo experiments illustrating its good performance over first-order asymptotics and Edgeworth expansions, in small to moderate sample sizes, while preserving analytical tractability.