Moscone, Francesco and Tosetti, Elisa (2009): GMM estimation of spatial panels.
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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.
|Item Type:||MPRA Paper|
|Original Title:||GMM estimation of spatial panels|
|Keywords:||Generalized Method of Moments, spatial econometrics|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
A - General Economics and Teaching > A1 - General Economics > A19 - Other
|Depositing User:||Francesco Moscone|
|Date Deposited:||18. Jul 2009 11:41|
|Last Modified:||15. Feb 2013 23:04|
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