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|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lee, Lung-fei, 2007. "GMM and 2SLS estimation of mixed regressive, spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 137(2), pages 489-514, April.
- 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.
- 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.
- 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.
- 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.
- 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.
- Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R., 2007. "Panel data models with spatially correlated error components," Journal of Econometrics, Elsevier, vol. 140(1), pages 97-130, September.
- Mutl, Jan & Pfaffermayr, Michael, 2008. "The Spatial Random Effects and the Spatial Fixed Effects Model. The Hausman Test in a Cliff and Ord Panel Model," Economics Series 229, Institute for Advanced Studies.
- 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.
- 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.
- Yu, Jihai & de Jong, Robert & Lee, Lung-fei, 2008. "Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large," Journal of Econometrics, Elsevier, vol. 146(1), pages 118-134, September.
- Qian, Hailong & Schmidt, Peter, 2003. "Partial GLS regression," Economics Letters, Elsevier, vol. 79(3), pages 385-392, June.
- Kelejian, Harry H. & Prucha, Ingmar R., 2010.
"Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances,"
Journal of Econometrics,
Elsevier, vol. 157(1), pages 53-67, July.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:20152. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.