GM Estimation of Higher Order Spatial Autoregressive Processes in Panel Data Error Component Models

Harald Badinger and Peter Egger

No 2301, CESifo Working Paper Series from CESifo

Abstract: This paper presents a generalized moments (GM) approach to estimating an R-th order spatial regressive process in a panel data error component model. We derive moment conditions to estimate the parameters of the higher order spatial regressive process and the optimal weighting matrix required to achieve asymptotic efficiency. We prove consistency of the proposed GM estimator and provide Monte Carlo evidence that it performs well also in reasonably small samples.

Keywords: spatial models; panel data models; error component models (search for similar items in EconPapers)
JEL-codes: C13 C21 C23 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_2301

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