Efficient GMM Estimation of a Cliff and Ord Panel Data Model with Random Effects

Gianfranco Piras

Spatial Economic Analysis, 2013, vol. 8, issue 3, 370-388

Abstract: The present paper suggests an estimation procedure for a Cliff and Ord type spatial panel data model with random effects. Building on existing literature, the paper suggests an estimation procedure that (i) considers all the moment conditions in Kapoor et al. (2007) and (ii) allows for the presence of explanatory variables that do not vary over time. Our Monte Carlo results demonstrate that the estimation procedure proposed in this paper is very effective.

Date: 2013
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Working Paper: Efficient GMM Estimation of a Cliff and Ord Panel Data Model with Random Effects (2013)
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DOI: 10.1080/17421772.2013.804628

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