Arbeitspapier
Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances
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.
- Language
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Englisch
- Bibliographic citation
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Series: CESifo Working Paper ; No. 4847
- Classification
-
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
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higher-order spatial dependence
generalized moments estimation
heteroskedasticity
two-stage least squares
asymptotic statistics
- Event
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Geistige Schöpfung
- (who)
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Badinger, Harald
Egger, Peter
- Event
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Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
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Munich
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Badinger, Harald
- Egger, Peter
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2014
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