Authors: Arnold, Matthias
Wied, Dominik
Title: Improved GMM estimation of panel data models with spatially correlated error components
Language (ISO): en
Abstract: We modify a previously suggested GMM estimator in a spatial panel regression model by taking into account the difference between disturbances and regression residuals and derive its asymptotic properties. Simulation results and an empirical application to Indonesian rice data illustrate the improvement in finite samples.
Subject Headings: GMM estimation
panel regression
regression residuals
spatial autoregression
URI: http://hdl.handle.net/2003/29068
http://dx.doi.org/10.17877/DE290R-51
Issue Date: 2011-09-07
Appears in Collections:Sonderforschungsbereich (SFB) 823

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