Estimation of Higher-Order Spatial Autoregressive Panel Data Error Component Models
Vienna University of Economics and Business
Ifo Institute for Economic Research - International Trade and Foreign Direct Investment; Ludwig-Maximilians University of Munich; CESifo (Center for Economic Studies and Ifo Institute for Economic Research
February 1, 2009
CESifo Working Paper Series No. 2556
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-stages 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.
Number of Pages in PDF File: 111
Keywords: higher-order spatial dependence, generalized moments estimation, two-stages least squares, asymptotic statistics
JEL Classification: C13, C21, C23working papers series
Date posted: February 26, 2009
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