Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances

Harald Badinger, Peter Egger

Publikation: Working/Discussion PaperWU Working Paper

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Abstract

This paper develops a unified framework for fixed and random effects estimation of higher-order spatial autoregressive panel data models with spatial autoregressive
disturbances and heteroskedasticity of unknown form in the idiosyncratic error component. We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM) estimation procedure of the spatial autoregressive parameters of the disturbance process and define both a random effects and a fixed effects spatial generalized two-stage least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators and derive their joint asymptotic distribution, which is robust to heteroskedasticity of unknown form in the idiosyncratic error component. Finally, we derive a robust Hausman-test of the spatial random against the spatial fixed effects model. (authors' abstract)
OriginalspracheEnglisch
PublikationsstatusVeröffentlicht - 2014

Publikationsreihe

NameDepartment of Economics Working Paper Series
Nr.173

Österreichische Systematik der Wissenschaftszweige (ÖFOS)

  • 506004 Europäische Integration
  • 502025 Ökonometrie
  • 502047 Volkswirtschaftstheorie
  • 502003 Außenhandel
  • 502018 Makroökonomie

WU Working Paper Reihe

  • Department of Economics Working Paper Series

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