GMM estimation of spatial panels
AbstractWe consider Generalized Method of Moments (GMM) estimation of a regression model with spatially correlated errors. We propose some new moment conditions, and derive the asymptotic distribution of the GMM based on them. The analysis is supported by a small Monte Carlo exercise.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 16327.
Date of creation: 17 Apr 2009
Date of revision:
Generalized Method of Moments; spatial econometrics;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- A19 - General Economics and Teaching - - General Economics - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-28 (All new papers)
- NEP-ECM-2009-07-28 (Econometrics)
- NEP-GEO-2009-07-28 (Economic Geography)
- NEP-URE-2009-07-28 (Urban & Real Estate Economics)
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