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|Title:||Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors |
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.|
Monte Carlo studies
maximum likelihood estimation
generalized method of moments
|Document Type:||Working Paper|
|Appears in Collections:||CESifo Working Papers, CESifo Group Munich|
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