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Title:Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors PDF Logo
Authors:Egger, Peter
Larch, Mario
Pfaffermayr, Michael
Walde, Janette F.
Issue Date:2005
Series/Report no.:CESifo working papers 1558
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.
Subjects:spatial autocorrelation
hypothesis tests
Monte Carlo studies
maximum likelihood estimation
generalized method of moments
JEL:C12
R10
C21
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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