Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/72711 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 229
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
This paper studies the spatial random effects and spatial fixed effects model. The model includes a Cliff and Ord type spatial lag of the dependent variable as well as a spatially lagged one-way error component structure, accounting for both heterogeneity and spatial correlation across units. We discuss instrumental variable estimation under both the fixed and the random effects specification and propose a spatial Hausman test which compares these two models accounting for spatial autocorrelation in the disturbances. We derive the large sample properties of our estimation procedures and show that the test statistic is asymptotically chi-square distributed. A small Monte Carlo study demonstrates that this test works well even in small panels.
Schlagwörter: 
spatial econometrics
panel data
random effects estimator
within estimator
Hausman test
JEL: 
C21
C23
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
365.19 kB





Publikationen in EconStor sind urheberrechtlich geschützt.