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

Harald Badinger, Peter Egger

Publication: 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)
Original languageEnglish
Publication statusPublished - 2014

Publication series

NameDepartment of Economics Working Paper Series
No.173

Austrian Classification of Fields of Science and Technology (ÖFOS)

  • 506004 European integration
  • 502025 Econometrics
  • 502047 Economic theory
  • 502003 Foreign trade
  • 502018 Macroeconomics

WU Working Paper Series

  • Department of Economics Working Paper Series

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