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 |
URI: | http://hdl.handle.net/2003/27240 http://dx.doi.org/10.17877/DE290R-8686 |
Issue Date: | 2010-05-25T08:59:13Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_1810_SFB823_hanck_krämer.pdf | DNB | 244.89 kB | Adobe PDF | View/Open |
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