GMM estimation of Spatial Panels with Fixed Effects
AbstractIn this paper we consider the estimation of a panel data regression model with spatial autoregressive disturbances, fixed effects and unknown heteroskedasticity. Following the work by Kelejian and Prucha (1999), Lee and Liu (2006a) and others, we adopt the Generalized Method of Moments (GMM) and consider as moments a set linear quadratic conditions in the disturbances. As in Lee and Liu (2006a), we assume that the inner matrices in the quadratic forms have zero diagonal elements to robustify moments against unknown heteroskedasticity. We derive the asymptotic distribution of the GMM estimator based on such conditions. Hence, we carry out some Monte Carlo experiment to investigate the small sample properties of GMM estimators based on various sets of moment conditions.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 20152.
Date of creation: 19 Jan 2010
Date of revision:
spatial econometrics; panel data; within estimator;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-30 (All new papers)
- NEP-ECM-2010-01-30 (Econometrics)
- NEP-GEO-2010-01-30 (Economic Geography)
- NEP-URE-2010-01-30 (Urban & Real Estate Economics)
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