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

Badinger, Harald and Egger, Peter (2013) Estimation and Testing of Higher-Order Spatial Autoregressive Panel Data Error Component Models. Journal of Geographical Systems , 15 (4). pp. 453-489. ISSN 1435-5930

[img]
Preview
PDF
JoGS_2012.pdf

Download (856kB)

Abstract

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.

Item Type: Article
Additional Information: 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.
Keywords: Higher-order spatial dependence, Generalized moments estimation, Two-stage least squares, Asymptotic statistics
Classification Codes: JEL C13, C21, C23
Divisions: Departments > Volkswirtschaft > Internationale Wirtschaft
Version of the Document: Accepted for Publication
Depositing User: ePub Administrator
Date Deposited: 15 Mar 2017 14:40
Last Modified: 15 Mar 2017 16:31
Related URLs:
FIDES Link: https://bach.wu.ac.at/d/research/results/61299/
URI: https://epub.wu.ac.at/id/eprint/5468

Actions

View Item View Item

Downloads

Downloads per month over past year

View more statistics