Improved GMM estimation of the spatial autoregressive error model
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 108 (2010)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/ecolet
GMM estimation Spatial autoregression Regression residuals;
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