The exact bias of s2 in linear panel regressions with spatial autocorrelation
We investigate the OLS-based estimator s2 of the disturbance variance in an error component linear panel regression model when the disturbances are homoskedastic, but spatially correlated. Although consistent (Song and Lee, Econ. Lett. 2008), s2 can be arbitrarily biased towards zero in finite samples.
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- Kelejian, Harry H & Prucha, Ingmar R, 1999.
"A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model,"
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- 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.
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- 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.
- Case, Anne, 1992. "Neighborhood influence and technological change," Regional Science and Urban Economics, Elsevier, vol. 22(3), pages 491-508, September. Full references (including those not matched with items on IDEAS)
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