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The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term

Badi Baltagi (), Chihwa Kao () and Long Liu

Spatial Economic Analysis, 2013, vol. 8, issue 3, 241-270

Abstract: This paper considers the estimation of a linear regression involving the spatial autoregressive (SAR) error term which is nearly nonstationary. The asymptotics properties of the ordinary least squares (OLS), true generalized least squares (GLS) and feasible generalized least squares (FGLS) estimators as well as the corresponding Wald test statistics are derived. Monte Carlo results are conducted to study the sampling behavior of the proposed estimators and test statistics.

Date: 2013
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Related works:
Working Paper: The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term (2012)
Working Paper: The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term (2012)
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