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Estimation and Testing of Higher-Order Spatial Autoregressive Panel Data Error Component Models

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM) estimation procedure of the spatial autoregressive parameters of the disturbance process and define a generalized two-stage least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators, derive their joint asymptotic distribution, and provide Monte Carlo evidence on their small sample performance.

Identiferoai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:5468
Date10 1900
CreatorsBadinger, Harald, Egger, Peter
PublisherSpringer
Source SetsWirtschaftsuniversität Wien
LanguageEnglish
Detected LanguageEnglish
TypeArticle, PeerReviewed
Formatapplication/pdf
Relationhttp://dx.doi.org/10.1007/s10109-012-0174-z, http://link.springer.com/, http://epub.wu.ac.at/5468/

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