Estimation and testing of higher-order spatial autoregressive panel data error component models

Harald Badinger, Peter Egger

Publication: Scientific journalJournal articlepeer-review

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Abstract

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). 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 a generalized two-stage least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators, derive their joint asymptotic distribution, and provide Monte Carlo evidence on their small sample performance.
Original languageEnglish
Pages (from-to)453 - 489
JournalJournal of Geographical Systems
Volume15
Issue number4
DOIs
Publication statusPublished - 1 Dec 2013

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