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Estimation and testing of higher-order spatial autoregressive panel data error component models |
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| Authors: | Harald Badinger Peter Egger |
| Institution: | 1. Department of Economics, Vienna University of Economics and Business, Augasse 2-6, 1090, Vienna, Austria 2. Austrian Institute of Economic Research (WIFO), Arsenal, Objekt 20, 1030, Vienna, Austria 3. Department of Management, Technology, and Economics, ETH Zürich, Weinbergstrasse 35, 8092, Zurich, Switzerland 4. CEPR, Zurich, Switzerland |
| 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. |
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