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dc.contributor.authorEgger, Peteren
dc.contributor.authorLarch, Marioen
dc.contributor.authorPfaffermayr, Michaelen
dc.contributor.authorWalde, Janette F.en
dc.date.accessioned2009-01-28T15:54:31Z-
dc.date.available2009-01-28T15:54:31Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/19022-
dc.description.abstractThis 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.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x1558en
dc.subject.jelC12en
dc.subject.jelR10en
dc.subject.jelC21en
dc.subject.ddc330en
dc.subject.keywordspatial autocorrelationen
dc.subject.keywordhypothesis testsen
dc.subject.keywordMonte Carlo studiesen
dc.subject.keywordmaximum likelihood estimationen
dc.subject.keywordgeneralized method of momentsen
dc.subject.stwMaximum-Likelihood-Methodeen
dc.subject.stwMomentenmethodeen
dc.subject.stwAutokorrelationen
dc.subject.stwStatistischer Testen
dc.subject.stwTheorieen
dc.titleSmall sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors-
dc.typeWorking Paperen
dc.identifier.ppn503677639en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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