Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19022
Authors: 
Egger, Peter
Larch, Mario
Pfaffermayr, Michael
Walde, Janette F.
Year of Publication: 
2005
Series/Report no.: 
CESifo Working Paper 1558
Abstract: 
This paper undertakes a Monte Carlo study to compare MLE-based and GMM-based tests regarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM estimation as derived by Kelejian and Prucha (2005a) performs surprisingly well. Our Monte Carlo study indicates that the GMM Wald-test is correctly sized even in small samples and exhibits the same power as their MLE-based counterparts. Since GMM estimates are much easier to calculate, the GMM Wald-test is recommended for applied researches.
Subjects: 
spatial autocorrelation
hypothesis tests
Monte Carlo studies
maximum likelihood estimation
generalized method of moments
JEL: 
C12
R10
C21
Document Type: 
Working Paper

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