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EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/19022
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Egger, Peter | | en_US |
| dc.contributor.author | | Larch, Mario | | en_US |
| dc.contributor.author | | Pfaffermayr, Michael | | en_US |
| dc.contributor.author | | Walde, Janette F. | | en_US |
| dc.date.accessioned | | 2009-01-28T15:54:31Z | | - |
| dc.date.available | | 2009-01-28T15:54:31Z | | - |
| dc.date.issued | | 2005 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/19022 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | CESifo working papers 1558 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.jel | | R10 | | en_US |
| dc.subject.jel | | C21 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | spatial autocorrelation | | en_US |
| dc.subject.keyword | | hypothesis tests | | en_US |
| dc.subject.keyword | | Monte Carlo studies | | en_US |
| dc.subject.keyword | | maximum likelihood estimation | | en_US |
| dc.subject.keyword | | generalized method of moments | | en_US |
| dc.subject.stw | | Maximum-Likelihood-Methode | | en_US |
| dc.subject.stw | | Momentenmethode | | en_US |
| dc.subject.stw | | Autokorrelation | | en_US |
| dc.subject.stw | | Statistischer Test | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 503677639 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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