Please use this identifier to cite or link to this item:
https://hdl.handle.net/10419/19022
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Egger, Peter | en |
dc.contributor.author | Larch, Mario | en |
dc.contributor.author | Pfaffermayr, Michael | en |
dc.contributor.author | Walde, Janette F. | en |
dc.date.accessioned | 2009-01-28T15:54:31Z | - |
dc.date.available | 2009-01-28T15:54:31Z | - |
dc.date.issued | 2005 | - |
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 testsregarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord typemodel. The main finding is that a Wald-test based on GMM estimation as derived by Kelejianand Prucha (2005a) performs surprisingly well. Our Monte Carlo study indicates that theGMM Wald-test is correctly sized even in small samples and exhibits the same power as theirMLE-based counterparts. Since GMM estimates are much easier to calculate, the GMMWald-test is recommended for applied researches. | en |
dc.language.iso | eng | en |
dc.publisher | |aCenter for Economic Studies and ifo Institute (CESifo) |cMunich | en |
dc.relation.ispartofseries | |aCESifo Working Paper |x1558 | en |
dc.subject.jel | C12 | en |
dc.subject.jel | R10 | en |
dc.subject.jel | C21 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | spatial autocorrelation | en |
dc.subject.keyword | hypothesis tests | en |
dc.subject.keyword | Monte Carlo studies | en |
dc.subject.keyword | maximum likelihood estimation | en |
dc.subject.keyword | generalized method of moments | en |
dc.subject.stw | Maximum-Likelihood-Methode | en |
dc.subject.stw | Momentenmethode | en |
dc.subject.stw | Autokorrelation | en |
dc.subject.stw | Statistischer Test | en |
dc.subject.stw | Theorie | en |
dc.title | Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 503677639 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
Files in This Item:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.