GMM estimation of spatial panels

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

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.

• Item Type: MPRA Paper
• Language: English
• 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

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