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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. Neudecker, H., 1978. "Bounds for the bias of the LS estimator of o^2 in the case of a first-order autoregressive process," University of Amsterdam, Actuarial Science and Econometrics Archive 293026, University of Amsterdam, Faculty of Economics and Business.
    2. 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.
    3. Neudecker, Heinz, 1977. "Bounds for the Bias of the Least Squares Estimator of s2 in the Case of a First-order Autoregressive Process (Positive Autocorrelation)," Econometrica, Econometric Society, vol. 45(5), pages 1257-1262, July.
    4. 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.
    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.
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    8. 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.
    9. 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.
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    11. 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.
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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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