GMM estimation of Spatial Panels with Fixed Effects

Francesco Moscone and Elisa Tosetti

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we consider the estimation of a panel data regression model with spatial autoregressive disturbances, fixed effects and unknown heteroskedasticity. Following the work by Kelejian and Prucha (1999), Lee and Liu (2006a) and others, we adopt the Generalized Method of Moments (GMM) and consider as moments a set linear quadratic conditions in the disturbances. As in Lee and Liu (2006a), we assume that the inner matrices in the quadratic forms have zero diagonal elements to robustify moments against unknown heteroskedasticity. We derive the asymptotic distribution of the GMM estimator based on such conditions. Hence, we carry out some Monte Carlo experiment to investigate the small sample properties of GMM estimators based on various sets of moment conditions.

Keywords: spatial econometrics; panel data; within estimator (search for similar items in EconPapers)
JEL-codes: C15 (search for similar items in EconPapers)
Date: 2010-01-19
New Economics Papers: this item is included in nep-ecm, nep-geo and nep-ure
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