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dc.contributor.authorBaltagi, Badi H.en_US
dc.contributor.authorEgger, Peteren_US
dc.contributor.authorPfaffermayr, Michaelen_US
dc.date.accessioned2012-09-26en_US
dc.date.accessioned2012-10-11T15:55:35Z-
dc.date.available2012-10-11T15:55:35Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/64843-
dc.description.abstractThis paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our encompassing specification allows us to test for these models as restricted specifications. In particular, we derive three LM and LR tests that restrict our generalized model to obtain (i) the Anselin model, (ii) the Kapoor, Kelejian, and Prucha model, and (iii) the simple random effects model that ignores the spatial correlation in the residuals. For two of these three tests, we obtain closed form solutions and we derive their large sample distributions. Our Monte Carlo results show that the suggested tests are powerful in testing for these restricted specifications even in small and medium sized samples.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo Working Paper: Empirical and Theoretical Methods 3930en_US
dc.subject.jelC23en_US
dc.subject.jelC12en_US
dc.subject.ddc330en_US
dc.subject.keywordpanel dataen_US
dc.subject.keywordspatially autocorrelated residualsen_US
dc.subject.keywordmaximum-likelihood estimationen_US
dc.subject.keywordLagrange multiplieren_US
dc.subject.keywordlikelihood ratioen_US
dc.subject.stwPanelen_US
dc.subject.stwRegionen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwTheorieen_US
dc.titleA generalized spatial panel data model with random effectsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn726459917en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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