Simultaneous Generalized Method of Moments Estimator for Panel Data Models with Spatially Correlated Error Components

Marius Amba () and Taoufiki Mbratana

MPRA Paper from University Library of Munich, Germany

Abstract: This paper develops estimators for simultaneous equations with spatial autoregressive or spatial moving average error components. We derive a limited information estimator and a full information estimator. We give the simultaneous generalized method of moments to get each component of the variance covariance of the disturbance in spatial autoregressive case as well as spatial moving average case. The results of our Monte Carlo suggest that our estimators are consistent. When we estimate the coefficient of spatial dependence it seems better to use instrumental variables estimator that takes into account simultaneity. We also apply these set of estimators on real data.

Keywords: Simultaneous; GMM; Panel data; SAR; SMA (search for similar items in EconPapers)
JEL-codes: C13 C33 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-ecm and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:84746

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