The exact bias of S 2 in linear panel regressions with spatial autocorrelation
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Date
2010-05-25T08:59:13Z
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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.
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Keywords
Bias, Panel data, Spatial error correlation