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 |
Files in This Item:
File | Description | Size | Format | |
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tr42-06.pdf | DNB | 160.14 kB | Adobe PDF | View/Open |
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