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Improved GMM estimation of the spatial autoregressive error model

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  • Arnold, Matthias
  • Wied, Dominik

Abstract

We suggest an improved GMM estimator for the autoregressive parameter of a spatial autoregressive error model by taking into account that unobservable regression disturbances are different from observable regression residuals.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4YV82FD-2/2/306c2a6e676b92109c6343f890e07c09
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 108 (2010)
Issue (Month): 1 (July)
Pages: 65-68

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Handle: RePEc:eee:ecolet:v:108:y:2010:i:1:p:65-68

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: GMM estimation Spatial autoregression Regression residuals;

References

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  1. Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
  2. Wolfram Schlenker & W. Michael Hanemann & Anthony C. Fisher, 2006. "The Impact of Global Warming on U.S. Agriculture: An Econometric Analysis of Optimal Growing Conditions," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 113-125, February.
  3. Luc Anselin & Rodolfo Bongiovanni & Jess Lowenberg-DeBoer, 2004. "A Spatial Econometric Approach to the Economics of Site-Specific Nitrogen Management in Corn Production," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(3), pages 675-687.
  4. Patrik Tingvall, 2004. "The dynamics of European industrial structure," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 140(4), pages 665-687, December.
  5. Kelejian, Harry H. & Prucha, Ingmar R., 2004. "Estimation of simultaneous systems of spatially interrelated cross sectional equations," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 27-50.
  6. Viliam Druska & William C. Horrace, 2004. "Generalized Moments Estimation for Spatial Panel Data: Indonesian Rice Farming," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(1), pages 185-198.
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Cited by:
  1. Doğan, Osman & Taşpınar, Süleyman, 2013. "GMM estimation of spatial autoregressive models with moving average disturbances," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 903-926.
  2. Osman Dogan, 2013. "Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with Moving Average Disturbance Term," Working Papers 002, City University of New York Graduate Center, Ph.D. Program in Economics.

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