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A Spatial Cliff-Ord-type Model with Heteroskedastic Innovations: Small and Large Sample Results

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  • Irani Arraiz
  • David M. Drukker
  • Harry H. Kelejian
  • Ingmar R. Prucha
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    Abstract

    In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step GMM/IV type estimation procedure for the parameters of the model. We then establish the limiting distribution of our suggested estimators, and give consistent estimators for their asymptotic variance covariance matrices, utilizing results given in Kelejian and Prucha (2007b). Monte Carlo results are given which suggest that the derived large sample distribution provides a good approximation to the actual small sample distribution of our estimators.

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    File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2008/wp-cesifo-2008-12/cesifo1_wp2485.pdf
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    Bibliographic Info

    Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 2485.

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    Date of creation: 2008
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    Handle: RePEc:ces:ceswps:_2485

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    1. Topa, Giorgio, 1997. "Social Interactions, Local Spillovers and Unemployment," Working Papers, C.V. Starr Center for Applied Economics, New York University 97-17, C.V. Starr Center for Applied Economics, New York University.
    2. Kelejian, Harry H. & Prucha, Ingmar R., 2007. "HAC estimation in a spatial framework," Journal of Econometrics, Elsevier, Elsevier, vol. 140(1), pages 131-154, September.
    3. Lung-Fei Lee, 2004. "Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 72(6), pages 1899-1925, November.
    4. Luc Anselin & Julie Le Gallo, 2006. "Interpolation of Air Quality Measures in Hedonic House Price Models: Spatial Aspects This paper is part of a joint research effort with James Murdoch (University of Texas, Dallas) and Mark Thayer (San," Spatial Economic Analysis, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(1), pages 31-52.
    5. Kathleen P. Bell & Nancy E. Bockstael, 2000. "Applying the Generalized-Moments Estimation Approach to Spatial Problems Involving Microlevel Data," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 72-82, February.
    6. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2005. "Estimating Models of Complex FDI: Are There Third-Country Effects?," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 73, Center for Policy Research, Maxwell School, Syracuse University.
    7. Cohen, Jeffrey P. & Morrison Paul, Catherine J., 2003. "Airport infrastructure spillovers in a network system," Journal of Urban Economics, Elsevier, vol. 54(3), pages 459-473, November.
    8. Holtz-Eakin, Douglas, 1994. "Public-Sector Capital and the Productivity Puzzle," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 12-21, February.
    9. 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, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
    10. Shroder, Mark, 1995. "Games the States Don't Play: Welfare Benefits and the Theory of Fiscal Federalism," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 183-91, February.
    11. Kelejian, Harry H. & Prucha, Ingmar R., 2004. "Estimation of simultaneous systems of spatially interrelated cross sectional equations," Journal of Econometrics, Elsevier, Elsevier, vol. 118(1-2), pages 27-50.
    12. Wolfgang Keller & Carol H. Shiue, 2003. "The Origins of Spatial Interaction," NBER Working Papers 10069, National Bureau of Economic Research, Inc.
    13. Kelejian, Harry H. & Prucha, Ingmar R., 2010. "Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances," Journal of Econometrics, Elsevier, Elsevier, vol. 157(1), pages 53-67, July.
    14. Jeffrey P. Cohen & Catherine J. Morrison Paul, 2004. "Public Infrastructure Investment, Interstate Spatial Spillovers, and Manufacturing Costs," The Review of Economics and Statistics, MIT Press, vol. 86(2), pages 551-560, May.
    15. Julie Le Gallo & Sandy Dall'erba, 2006. "Evaluating the Temporal and Spatial Heterogeneity of the European Convergence Process, 1980-1999," Journal of Regional Science, Wiley Blackwell, Wiley Blackwell, vol. 46(2), pages 269-288.
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    Cited by:
    1. Moscone, F. & Tosetti, E., 2011. "GMM estimation of spatial panels with fixed effects and unknown heteroskedasticity," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 41(5), pages 487-497, September.
    2. Chen, Susan E. & Florax, Raymond J.G.M. & Snyder, Samantha D., 2009. "Obesity in Urban Food Markets: Evidence from Geo-referenced Micro Data," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association 49512, Agricultural and Applied Economics Association.
    3. Moscone, Francesco & Tosetti, Elisa, 2010. "GMM estimation of Spatial Panels with Fixed Effects," MPRA Paper 20152, University Library of Munich, Germany.

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