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Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances

Badinger, Harald and Egger, Peter (2014) Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances. Department of Economics Working Paper Series, 173. WU Vienna University of Economics and Business, Vienna.

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Abstract

This paper develops a unified framework for fixed and random effects estimation of higher-order spatial autoregressive panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error component. 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 both a random effects and a fixed effects spatial generalized two-stage least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators and derive their joint asymptotic distribution, which is robust to heteroskedasticity of unknown form in the idiosyncratic error component. Finally, we derive a robust Hausman-test of the spatial random against the spatial fixed effects model. (authors' abstract)

Item Type: Paper
Keywords: Higher-order spatial dependence / Generalized moments estimation / Heteroskedasticity / Two-stage least squares / Asymptotic statistics
Classification Codes: JEL C13, C21, C23
Divisions: Departments > Volkswirtschaft
Depositing User: Claudia Tering-Raunig
Date Deposited: 23 Apr 2014 09:12
Last Modified: 19 Sep 2016 14:56
Related URLs:
FIDES Link: https://bach.wu.ac.at/d/research/results/68399/
URI: http://epub.wu.ac.at/id/eprint/4126

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