Moscone, Francesco and Tosetti, Elisa (2010): GMM estimation of Spatial Panels with Fixed Effects.
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In this paper we consider the estimation of a panel data regression model with spatial autoregressive disturbances, fixed effects and unknown heteroskedasticity. Following the work by Kelejian and Prucha (1999), Lee and Liu (2006a) and others, we adopt the Generalized Method of Moments (GMM) and consider as moments a set linear quadratic conditions in the disturbances. As in Lee and Liu (2006a), we assume that the inner matrices in the quadratic forms have zero diagonal elements to robustify moments against unknown heteroskedasticity. We derive the asymptotic distribution of the GMM estimator based on such conditions. Hence, we carry out some Monte Carlo experiment to investigate the small sample properties of GMM estimators based on various sets of moment conditions.
|Item Type:||MPRA Paper|
|Original Title:||GMM estimation of Spatial Panels with Fixed Effects|
|English Title:||GMM estimation of Spatial Panels with Fixed Effects|
|Keywords:||spatial econometrics, panel data, within estimator|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General|
|Depositing User:||Francesco Moscone|
|Date Deposited:||19. Jan 2010 18:25|
|Last Modified:||12. Feb 2013 21:55|
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