The exact bias of s2 in linear panel regressions with spatial autocorrelation

Christoph Hanck and Walter Krämer

Economics Letters, 2011, vol. 110, issue 1, 67-70

Abstract: We investigate the OLS-based estimator s2 of the disturbance variance in an error component linear panel regression model when the disturbances are homoskedastic, but spatially correlated. Although consistent (Song and Lee, Econ. Lett. 2008), s2 can be arbitrarily biased towards zero in finite samples.

Keywords: Panel; data; Spatial; error; correlation; Bias (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:110:y:2011:i:1:p:67-70

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