Munich Personal RePEc Archive

GMM estimation of spatial panels

Moscone, Francesco and Tosetti, Elisa (2009): GMM estimation of spatial panels.

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Abstract

We consider Generalized Method of Moments (GMM) estimation of a regression model with spatially correlated errors. We propose some new moment conditions, and derive the asymptotic distribution of the GMM based on them. The analysis is supported by a small Monte Carlo exercise.

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