Badinger, Harald and Egger, Peter
Estimation and Testing of Higher-Order Spatial Autoregressive Panel Data Error Component Models.
Journal of Geographical Systems , 15 (4).
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.
||To see the final version of this paper please visit the publisher's website. Access to the published version requires a subscription. The online version of this article (doi:10.1007/s10109-012-0174-z) contains supplementary material, which is available to authorized users. The final publication is available at Springer via http://dx.doi.org/10.1007/s10109-012-0174-z.
||Higher-order spatial dependence, Generalized moments estimation, Two-stage least squares, Asymptotic statistics
||JEL C13, C21, C23
||Departments > Volkswirtschaft > Internationale Wirtschaft
|Version of the Document:
||Accepted for Publication
||15 Mar 2017 15:40
||15 Mar 2017 17:31