Breitung, Jörg ORCID: 0000-0001-7367-0863 and Wigger, Christoph (2018). Alternative GMM estimators for spatial regression models. Spatial Economic Analysis, 13 (2). 148 - 171. ABINGDON: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD. ISSN 1742-1780

Full text not available from this repository.

Abstract

Using approximations of the score of the log-likelihood function, we derive moment conditions for estimating spatial regression models, starting with the spatial error model. Our approach results in computationally simple and robust estimators, such as a new moment estimator derived from the first-order approximation obtained by solving a quadratic moment equation, and performs similarly to existing generalized method of moments (GMM) estimators. Our estimator based on the second-order approximation resembles the GMM estimator proposed by Kelejian and Prucha in 1999. Hence, we provide an intuitive interpretation of their estimator. Additionally, we provide a convenient framework for computing the weighting matrix of the optimal GMM estimator. Heteroskedasticity robust versions of our estimators are also proposed. Furthermore, a first-order approximation for the spatial autoregressive model is considered, resulting in a computationally simple method of moment estimator. The performance of the considered estimators is compared in a Monte Carlo study.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Breitung, JörgUNSPECIFIEDorcid.org/0000-0001-7367-0863UNSPECIFIED
Wigger, ChristophUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
URN: urn:nbn:de:hbz:38-203187
DOI: 10.1080/17421772.2018.1403644
Journal or Publication Title: Spatial Economic Analysis
Volume: 13
Number: 2
Page Range: 148 - 171
Date: 2018
Publisher: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Place of Publication: ABINGDON
ISSN: 1742-1780
Language: English
Faculty: Faculty of Management, Economy and Social Sciences
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
PANEL-DATA MODELS; LEAST-SQUARES ESTIMATION; AUTOREGRESSIVE MODEL; MOMENTS ESTIMATOR; GENERALIZED-METHOD; DISTURBANCES; VARIABLES; LAGMultiple languages
EconomicsMultiple languages
Refereed: Yes
URI: http://kups.ub.uni-koeln.de/id/eprint/20318

Downloads

Downloads per month over past year

Altmetric

Export

Actions (login required)

View Item View Item