Improved GMM estimation of panel data models with spatially correlated error components

Loading...
Thumbnail Image

Date

2011-09-07

Journal Title

Journal ISSN

Volume Title

Publisher

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.

Description

Table of contents

Keywords

GMM estimation, panel regression, regression residuals, spatial autoregression

Citation