Estimation and testing of higher-order spatial autoregressive panel data error component models

Harald Badinger and Peter Egger

Journal of Geographical Systems, 2013, vol. 15, issue 4, 453-489

Abstract: This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM) estimation procedure of the spatial autoregressive parameters of the disturbance process and define a generalized two-stage least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators, derive their joint asymptotic distribution, and provide Monte Carlo evidence on their small sample performance. Copyright Springer-Verlag 2013

Keywords: Higher-order spatial dependence; Generalized moments estimation; Two-stage least squares; Asymptotic statistics; C13; C21; C23 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:kap:jgeosy:v:15:y:2013:i:4:p:453-489

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DOI: 10.1007/s10109-012-0174-z

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