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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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ePub-WU OAI Archive (Vienna Univ. of Econ. and B.A.)  

Autor(es)

Badinger, Harald -  Egger, Peter - 

Id.: 69724220

Idioma: inglés  - 

Versión: 1.0

Estado: Final

Tipo:  application/pdf - 

Palabras claveJEL C13, C21, C23 - 

Tipo de recurso: Article  -  PeerReviewed  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

Estructura: Atomic

Coste: no

Copyright: sí

Formatos:  application/pdf - 

Requerimientos técnicos:  Browser: Any - 

Relación: [References] http://dx.doi.org/10.1007/s10109-012-0174-z
[References] http://link.springer.com/
[References] http://epub.wu.ac.at/5468/

Fecha de contribución: 16-mar-2017

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