Improved GMM estimation of the spatial autoregressive error model

Matthias Arnold and Dominik Wied

Economics Letters, 2010, vol. 108, issue 1, 65-68

Abstract: We suggest an improved GMM estimator for the autoregressive parameter of a spatial autoregressive error model by taking into account that unobservable regression disturbances are different from observable regression residuals.

Keywords: GMM; estimation; Spatial; autoregression; Regression; residuals (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:108:y:2010:i:1:p:65-68

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