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Title:Estimation of higher-order spatial autoregressive panel data error component models PDF Logo
Authors:Badinger, Harald
Egger, Peter
Issue Date:2009
Series/Report no.:CESifo working paper 2556
Abstract:This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM) estimation procedure of the spatial autoregressive parameters of the disturbance process and define a generalized two-stages least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators, derive their joint asymptotic distribution, and provide Monte Carlo evidence on their small sample performance.
Subjects:Higher-order spatial dependence
generalized moments estimation
two-stages least squares
asymptotic statistics
JEL:C13
C21
C23
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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