Authors: Hanck, Christoph
Krämer, Walter
Title: The exact bias of S 2 in linear panel regressions with spatial autocorrelation
Language (ISO): en
Abstract: We investigate the OLS-based estimator s2 of the disturbance variance in an error component linear panel regression model when the disturbances are homoskedastic, but spatially correlated. Although consistent (Song and Lee, Econ. Lett. 2008), s2 can be arbitrarily biased towards zero in finite samples.
Subject Headings: Bias
Panel data
Spatial error correlation
Issue Date: 2010-05-25T08:59:13Z
Appears in Collections:Sonderforschungsbereich (SFB) 823

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