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A note on S2 in a spatially correlated error components regression model for panel data

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  • Song, Seuck Heun
  • Lee, Jaejun

Abstract

The ordinary least squares based estimator of the disturbance variance in a panel regression model with spatially correlated error component is shown to be asymptotically unbiased and weakly consistent without any restrictions on the regressor matrix.

Suggested Citation

  • Song, Seuck Heun & Lee, Jaejun, 2008. "A note on S2 in a spatially correlated error components regression model for panel data," Economics Letters, Elsevier, vol. 101(1), pages 41-43, October.
  • Handle: RePEc:eee:ecolet:v:101:y:2008:i:1:p:41-43
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    References listed on IDEAS

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    1. Kloek, T, 1972. "Note on Consistent Estimation of the Variance of the Disturbances in the Linear Model," Econometrica, Econometric Society, vol. 40(5), pages 911-912, September.
    2. Song, Seuck Heun, 1999. "A note on S2 in a linear regression model based on two-stage sampling data," Statistics & Probability Letters, Elsevier, vol. 43(2), pages 131-135, June.
    3. Lung-Fei Lee, 2004. "Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models," Econometrica, Econometric Society, vol. 72(6), pages 1899-1925, November.
    4. Drygas, Hilmar, 1975. "A Note on a Paper by T. Kloek Concerning the Consistency of Variance Estimation in the Linear Model," Econometrica, Econometric Society, vol. 43(1), pages 175-175, January.
    5. Kelejian, Harry H. & Prucha, Ingmar R., 2002. "2SLS and OLS in a spatial autoregressive model with equal spatial weights," Regional Science and Urban Economics, Elsevier, vol. 32(6), pages 691-707, November.
    6. Neudecker, H, 1978. "Bounds for the Bias of the LS Estimator of [sigma][superscript]2 in the Case of a First-Order (Positive) Autoregressive Process When the Regression Contains a Constant Term," Econometrica, Econometric Society, vol. 46(5), pages 1223-1226, September.
    7. Sathe, S T & Vinod, H D, 1974. "Bounds on the Variance of Regression Coefficients Due to Heteroscedastic or Autoregressive Errors," Econometrica, Econometric Society, vol. 42(2), pages 333-340, March.
    8. Harry H. Kelejian & Ingmar R. Prucha & Yevgeny Yuzefovich, 2006. "Estimation Problems In Models With Spatial Weighting Matrices Which Have Blocks Of Equal Elements," Journal of Regional Science, Wiley Blackwell, vol. 46(3), pages 507-515, August.
    9. Case, Anne, 1992. "Neighborhood influence and technological change," Regional Science and Urban Economics, Elsevier, vol. 22(3), pages 491-508, September.
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    Cited by:

    1. Hanck, Christoph & Krämer, Walter, 2011. "The exact bias of s2 in linear panel regressions with spatial autocorrelation," Economics Letters, Elsevier, vol. 110(1), pages 67-70, January.

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