A Monte Carlo Study for Pure and Pretest Estimators of a Panel Data Model with Spatially Autocorrelated Disturbances
AbstractThis paper examines the consequences of model misspecification using a panel data model with spatially autocorrelated disturbances. The performance of several maximum likelihood estimators assuming different specifications for this model are compared using Monte Carlo experiments. These include (i) MLE of a random effects model that ignore the spatial correlation; (ii) MLE described in Anselin  which assumes that the individual effects are not spatially autocorrelated; (iii) MLE described in Kapoor, et al.  which assumes that both the individual effects and the remainder error are governed by the same spatial autocorelation; (iv) MLE described in Baltagi, et al.  which allows the spatial correlation parameter for the individual effects to be different from that of the remainder error term. The latter model encompasses the other models and allows the researcher to test these specifications as restrictions on the general model using LM and LR tests. In fact, based on these tests, we suggest a pretest estimator which is shown to perform well in Monte Carlo experiments, ranking a close second to the true MLE in mean squared error performance.
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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (2007)
Issue (Month): 87-88 ()
Other versions of this item:
- Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2007. "A Monte Carlo Study for Pure and Pretest Estimators of a Panel Data Model with Spatially Autocorrelated Disturbances," Center for Policy Research Working Papers 98, Center for Policy Research, Maxwell School, Syracuse University.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2013.
"A Generalized Spatial Panel Data Model with Random Effects,"
Taylor & Francis Journals, vol. 32(5-6), pages 650-685, August.
- Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2012. "A Generalized Spatial Panel Data Model with Random Effects," CESifo Working Paper Series 3930, CESifo Group Munich.
- Badi H. Baltagi & Peter Egger & Michael Pfafermayr, 2009. "A Generalized Spatial Panel Data Model with Random Effects," Center for Policy Research Working Papers 113, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Seuck Heun Song & Won Koh, 2002.
"Testing Panel Data Regression Models with Spatial Error Correlation,"
10th International Conference on Panel Data, Berlin, July 5-6, 2002
B6-4, International Conferences on Panel Data.
- Baltagi, Badi H. & Song, Seuck Heun & Koh, Won, 2003. "Testing panel data regression models with spatial error correlation," Journal of Econometrics, Elsevier, vol. 117(1), pages 123-150, November.
- Giles, Judith A & Giles, David E A, 1993. " Pre-test Estimation and Testing in Econometrics: Recent Developments," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 145-97, June.
- repec:asg:wpaper:1046 is not listed on IDEAS
- Badi H. Baltagi & Alain Pirotte, 2010.
"Seemingly Unrelated Regressions with Spatial Error Components,"
Center for Policy Research Working Papers
125, Center for Policy Research, Maxwell School, Syracuse University.
- Badi Baltagi & Alain Pirotte, 2011. "Seemingly unrelated regressions with spatial error components," Empirical Economics, Springer, vol. 40(1), pages 5-49, February.
- Baltagi B-H. & Pirotte, 2010. "Seemingly Unrelated Regressions With Spatial Error Components," Working Papers ERMES 0902, ERMES, University Paris 2.
- Arnab Bhattacharjee & Sean Holly, 2010.
"Structural Interactions in Spatial Panels,"
CDMA Working Paper Series
201003, Centre for Dynamic Macroeconomic Analysis.
- Bhattacharjee, Arnab & Holly, Sean, 2009. "Structural Interactions in Spatial Panels," SIRE Discussion Papers 2009-39, Scottish Institute for Research in Economics (SIRE).
- Bhattacharjee, A. & Holly, S., 2010. "Structural Interactions in Spatial Panels," Cambridge Working Papers in Economics 1004, Faculty of Economics, University of Cambridge.
- Daniel Arribas-Bel & Julia Koschinsky & Pedro Amaral, 2012.
"Improving the multi-dimensional comparison of simulation results: a spatial visualization approach,"
Letters in Spatial and Resource Sciences,
Springer, vol. 5(2), pages 55-63, July.
- Fingleton, Bernard, 2010.
"Predicting the Geography of House Prices,"
21113, University Library of Munich, Germany.
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