Fixed Effects and Random Effects Estimation of Higher-order Spatial Autoregressive Models with Spatial Autoregressive and Heteroscedastic Disturbances

Harald Badinger and Peter Egger

Spatial Economic Analysis, 2015, vol. 10, issue 1, 11-35

Abstract: This paper develops a unified framework for fixed effects (FE) and random effects (RE) estimation of higher-order spatial autoregressive panel data models with spatial autoregressive disturbances and heteroscedasticity of unknown form in the idiosyncratic error component. 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 both an RE and an FE spatial generalized two-stage least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators and derive their joint asymptotic distribution, which is robust to heteroscedasticity of unknown form in the idiosyncratic error component. Finally, we derive a robust Hausman test of the spatial random against the spatial FE model.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://hdl.handle.net/10.1080/17421772.2014.992362 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances (2014)
Working Paper: Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances (2014)
Working Paper: Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:specan:v:10:y:2015:i:1:p:11-35

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RSEA20

DOI: 10.1080/17421772.2014.992362

Access Statistics for this article

Spatial Economic Analysis is currently edited by Bernie Fingleton and Danilo Igliori

More articles in Spatial Economic Analysis from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().