GMM estimation of Spatial Panels with Fixed Effects
In 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.
|Date of creation:||19 Jan 2010|
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- Harry H. Kelejian & Ingmar R. Prucha, 2008.
"Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances,"
CESifo Working Paper Series
2448, CESifo Group Munich.
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- Irani Arraiz & David M. Drukker & Harry H. Kelejian & Ingmar R. Prucha, 2010.
"A Spatial Cliff-Ord-Type Model With Heteroskedastic Innovations: Small And Large Sample Results,"
Journal of Regional Science,
Wiley Blackwell, vol. 50(2), pages 592-614.
- Irani Arraiz & David M. Drukker & Harry H. Kelejian & Ingmar R. Prucha, 2008. "A Spatial Cliff-Ord-type Model with Heteroskedastic Innovations: Small and Large Sample Results," CESifo Working Paper Series 2485, CESifo Group Munich.
- Kelejian, Harry H & Prucha, Ingmar R, 1999.
"A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
- Harry H. Kelejian & Ingmar R. Prucha, 1995. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," Electronic Working Papers 95-001, University of Maryland, Department of Economics, revised Mar 1997.
- Harry H. Kelejian & Ingmar R. Prucha, 1999.
"On the Asymptotic Distribution of the Moran I Test Statistic with Applications,"
Electronic Working Papers
99-002, University of Maryland, Department of Economics.
- H. Kelejian, Harry & Prucha, Ingmar R., 2001. "On the asymptotic distribution of the Moran I test statistic with applications," Journal of Econometrics, Elsevier, vol. 104(2), pages 219-257, September.
- Bernard Fingleton, 2008. "A Generalized Method of Moments Estimator for a Spatial Panel Model with an Endogenous Spatial Lag and Spatial Moving Average Errors," Spatial Economic Analysis, Taylor & Francis Journals, vol. 3(1), pages 27-44.
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- Viliam Druska & William C. Horrace, 2002.
"Generalized Moments Estimation for Spatial Panel Data: Indonesian Rice Farming,"
0206004, EconWPA, revised 11 May 2003.
- Viliam Druska & William C. Horrace, 2004. "Generalized Moments Estimation for Spatial Panel Data: Indonesian Rice Farming," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(1), pages 185-198.
- Qian, Hailong & Schmidt, Peter, 2003. "Partial GLS regression," Economics Letters, Elsevier, vol. 79(3), pages 385-392, June.
- Bernard Fingleton, 2008. "A generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices," Empirical Economics, Springer, vol. 34(1), pages 35-57, February.
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