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Small Sample Properties and Pretest Estimation of A Spatial Hausman-Taylor Model

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This paper considers a Hausman and Taylor (1981) panel data model that exhibits a Cliff and Ord (1973) spatial error structure. We analyze the small sample properties of a generalized moments estimation approach for that model. This spatial Hausman-Taylor estimator allows for endogeneity of the time-varying and time-invariant variables with the individual effects. For this model, the spatial effects estimator is known to be consistent, but its disadvantage is that it wipes out the effects of time-invariant variables, which are important for most empirical studies. Monte Carlo results show that the spatial Hausman-Taylor estimator performs well in small samples. Key Words: Hausman-Taylor estimator; Spatial random effects; Small sample properties JEL No. C23, 31

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Paper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 141.

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Length: 22 pages
Date of creation: Aug 2012
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Handle: RePEc:max:cprwps:141

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