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dc.contributor.authorBaltagi, Badi H.en
dc.contributor.authorBresson, Georgesen
dc.date.accessioned2011-05-26-
dc.date.accessioned2011-06-28T13:53:19Z-
dc.date.available2011-06-28T13:53:19Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/46024-
dc.description.abstractThis paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and spatial error components. We study the general case where spatial effects are incorporated via spatial errors terms and via a spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification. We generalize the approach of Wang and Kockelman (2007) and propose joint and conditional Lagrange Multiplier tests for spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed estimators and tests are examined using Monte Carlo experiments. An empirical application to hedonic housing prices in Paris illustrates these methods. The proposed specification uses a system of three SUR equations corresponding to three types of flats within 80 districts of Paris over the period 1990-2003. We test for spatial effects and heterogeneity and find reasonable estimates of the shadow prices for housing characteristics.en
dc.language.isoengen
dc.publisher|aInstitute for the Study of Labor (IZA) |cBonnen
dc.relation.ispartofseries|aIZA Discussion Papers |x5227en
dc.subject.jelC31en
dc.subject.jelC33en
dc.subject.jelR21en
dc.subject.ddc330en
dc.subject.keywordhedonic housing pricesen
dc.subject.keywordLagrange multiplier testsen
dc.subject.keywordmaximum likelihooden
dc.subject.keywordpanel spatial dependenceen
dc.subject.keywordspatial lagen
dc.subject.keywordspatial erroren
dc.subject.keywordSURen
dc.subject.stwMaximum-Likelihood-Methodeen
dc.subject.stwPanelen
dc.subject.stwStatistischer Testen
dc.subject.stwImmobilienpreisen
dc.subject.stwHedonischer Preisindexen
dc.subject.stwWohnstandorten
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwParisen
dc.titleMaximum likelihood estimation and lagrange multiplier tests for panel seemingly unrelated regressions with spatial lag and spatial errors: An application to hedonic housing prices in Paris-
dc.typeWorking Paperen
dc.identifier.ppn660703556en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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