Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72711
Authors: 
Mutl, Jan
Pfaffermayr, Michael
Year of Publication: 
2008
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 229
Abstract: 
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.
Subjects: 
spatial econometrics
panel data
random effects estimator
within estimator
Hausman test
JEL: 
C21
C23
Document Type: 
Working Paper

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