Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/46024
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dc.contributor.authorBaltagi, Badi H.en_US
dc.contributor.authorBresson, Georgesen_US
dc.date.accessioned2011-05-26en_US
dc.date.accessioned2011-06-28T13:53:19Z-
dc.date.available2011-06-28T13:53:19Z-
dc.date.issued2010en_US
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_US
dc.language.isoengen_US
dc.publisher|aInstitute for the Study of Labor (IZA) |cBonnen_US
dc.relation.ispartofseries|aDiscussion paper series // Forschungsinstitut zur Zukunft der Arbeit |x5227en_US
dc.subject.jelC31en_US
dc.subject.jelC33en_US
dc.subject.jelR21en_US
dc.subject.ddc330en_US
dc.subject.keywordhedonic housing pricesen_US
dc.subject.keywordLagrange multiplier testsen_US
dc.subject.keywordmaximum likelihooden_US
dc.subject.keywordpanel spatial dependenceen_US
dc.subject.keywordspatial lagen_US
dc.subject.keywordspatial erroren_US
dc.subject.keywordSURen_US
dc.subject.stwMaximum-Likelihood-Methodeen_US
dc.subject.stwPanelen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwImmobilienpreisen_US
dc.subject.stwHedonischer Preisindexen_US
dc.subject.stwWohnstandorten_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwParisen_US
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 Parisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn660703556en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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