Authors: Hanck, Christoph
Krämer, Walter
Title: OLS-based estimation of the disturbance variance under spatial autocorrelation
Language (ISO): en
Abstract: We investigate the OLS-based estimator s^2 of the disturbance variance in the standard linear regression model with cross section data when the disturbances are homoskedastic, but spatially correlated. For the most popular model of spatially autoregressive disturbances, we show that s^2 can be severely biased in finite samples, but is asymptotically unbiased and consistent for most types of spatial weighting matrices as sample size increases.
Subject Headings: Bias
Regression
Spatial error correlation
Variance
URI: http://hdl.handle.net/2003/23077
http://dx.doi.org/10.17877/DE290R-15402
Issue Date: 2006-11-10T07:46:03Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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