A Generalized Method of Moments Estimator for a Spatial Panel Model with an Endogenous Spatial Lag and Spatial Moving Average Errors

Bernard Fingleton ()

Spatial Economic Analysis, 2008, vol. 3, issue 1, 27-44

Abstract: Abstract This paper proposes a new generalized method of moments (GMM) estimator for spatial panel models with spatial moving average errors combined with a spatially autoregressive dependent variable. Monte Carlo results are given suggesting that the GMM estimator is consistent. The estimator is applied to English real estate price data.

Keywords: Moving averages; GMM; real estate; spatial econometrics; panel data; C21; R12; R31 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (67)

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DOI: 10.1080/17421770701774922

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