Improved GMM estimation of panel data models with spatially correlated error components
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Date
2011-09-07
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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.
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Keywords
GMM estimation, panel regression, regression residuals, spatial autoregression