Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/102101
Authors: 
Badinger, Harald
Egger, Peter
Year of Publication: 
2014
Series/Report no.: 
CESifo Working Paper 4847
Abstract: 
This paper develops a unified framework for fixed and random effects estimation of higher-order spatial autoregressive panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error component. 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 both a random effects and a fixed effects spatial generalized two-stage least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators and derive their joint asymptotic distribution, which is robust to heteroskedasticity of unknown form in the idiosyncratic error component. Finally, we derive a robust Hausman-test of the spatial random against the spatial fixed effects model.
Subjects: 
higher-order spatial dependence
generalized moments estimation
heteroskedasticity
two-stage least squares
asymptotic statistics
JEL: 
C13
C21
C23
Document Type: 
Working Paper

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