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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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| Title: | | Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors  |
| 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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