Efficient GMM Estimation of a Cliff and Ord Panel Data Model with Random Effects

被引：9

作者：

Piras, Gianfranco ^{[1
]}

机构：

[1] W Virginia Univ, Reg Res Inst, Morgantown, WV 26506 USA

来源：

SPATIAL ECONOMIC ANALYSIS | 2013年 / 8卷 / 03期

关键词：

spatial panel data models; instrumental variables; random effects estimator; SPATIAL AUTOREGRESSIVE MODEL; MOMENTS ESTIMATOR; LAG; AUTOCORRELATION; DISTURBANCES; SERIAL;

D O I：

10.1080/17421772.2013.804628

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The present paper suggests an estimation procedure for a Cliff and Ord type spatial panel data model with random effects. Building on existing literature, the paper suggests an estimation procedure that (i) considers all the moment conditions in Kapoor et al. (2007) and (ii) allows for the presence of explanatory variables that do not vary over time. Our Monte Carlo results demonstrate that the estimation procedure proposed in this paper is very effective.

引用

页码：370 / 388

页数：19

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