Universität zu Köln

Breitung, Joerg and Wigger, Christoph (2018). Alternative GMM estimators for spatial regression models. Spat. Econ. Anal., 13 (2). S. 148 - 171. ABINGDON: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD. ISSN 1742-1780

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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:	Creators Email ORCID ORCID Put Code Breitung, Joerg UNSPECIFIED UNSPECIFIED UNSPECIFIED Wigger, Christoph UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-203187
DOI:	10.1080/17421772.2018.1403644
Journal or Publication Title:	Spat. Econ. Anal.
Volume:	13
Number:	2
Page Range:	S. 148 - 171
Date:	2018
Publisher:	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Place of Publication:	ABINGDON
ISSN:	1742-1780
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language PANEL-DATA MODELS; LEAST-SQUARES ESTIMATION; AUTOREGRESSIVE MODEL; MOMENTS ESTIMATOR; GENERALIZED-METHOD; DISTURBANCES; VARIABLES; LAG Multiple languages Economics Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/20318