Small Sample Properties and Pretest Estimation of A Spatial Hausman-Taylor Model
Badi Baltagi,
Peter Egger and
Michaela Kesina
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Michaela Kesina: ETH Zurich
No 141, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University
Abstract:
This paper considers a Hausman and Taylor (1981) panel data model that exhibits a Cliff and Ord (1973) spatial error structure. We analyze the small sample properties of a generalized moments estimation approach for that model. This spatial Hausman-Taylor estimator allows for endogeneity of the time-varying and time-invariant variables with the individual effects. For this model, the spatial effects estimator is known to be consistent, but its disadvantage is that it wipes out the effects of time-invariant variables, which are important for most empirical studies. Monte Carlo results show that the spatial Hausman-Taylor estimator performs well in small samples. Key Words: Hausman-Taylor estimator; Spatial random effects; Small sample properties JEL No. C23, 31
Pages: 22 pages
Date: 2012-08
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ure
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https://surface.syr.edu/cpr/189/ (application/pdf)
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Chapter: Small Sample Properties and Pretest Estimation of a Spatial Hausman–Taylor Model (2012) 
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Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:141
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