GMM Estimation of Lattice Models Using Panel Data: Application
AbstractWe propose an empirical application of lattice models to actual household-level data based on the generalized method of moments. We take advantage of the two dimensional structure of panel data to construct a lattice specification. Then, a class of nonparametric, positive semidefinite covariance matrix estimators that allow for a general form of spatial dependence characterized by a metric of economic distance is introduced. This framework is applied to estimating spatial patterns in the residential demand for drinking water. Estimation results indicate that accounting for spatial dependence yields efficient estimate of the asymptotic variance matrix. Compared to non-spatial strategies, spatial dependence implies higher standard errors for all parameter estimates so as to strongly modify patterns of significance.
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Bibliographic InfoPaper provided by Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg in its series Working Papers of BETA with number 2001-09.
Date of creation: 2001
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Lattice models; Spatial dependence; Nonparametric covariance matrix estimation; Residential demand for water;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- D10 - Microeconomics - - Household Behavior - - - General
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