@techreport{Egger2005Small,
abstract = {This paper undertakes a Monte Carlo study to compare MLE-based and GMM-based tests
regarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord type
model. The main finding is that a Wald-test based on GMM estimation as derived by Kelejian
and Prucha (2005a) performs surprisingly well. Our Monte Carlo study indicates that the
GMM Wald-test is correctly sized even in small samples and exhibits the same power as their
MLE-based counterparts. Since GMM estimates are much easier to calculate, the GMM
Wald-test is recommended for applied researches.},
author = {Peter Egger and Mario Larch and Michael Pfaffermayr and Janette F. Walde},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C12; R10; C21; 330; spatial autocorrelation; hypothesis tests; Monte Carlo studies; maximum likelihood estimation; generalized method of moments; Maximum-Likelihood-Methode; Momentenmethode; Autokorrelation; Statistischer Test; Theorie},
language = {eng},
number = {1558},
title = {Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors},
type = {CESifo working papers},
url = {http://hdl.handle.net/10419/19022},
year = {2005}
}
