Estimation of spatial autoregressive M-way error component panel data models

摘要

This paper considers a first order spatial autoregressive panel data model with first-order spatial autoregressive disturbances, SARAR(1,1), and M-dimensional error components. We derive generalized moments (GM) estimators for the spatial autoregressive parameter of the disturbance process and the variances of the error components and define a feasible generalized two stages least squares (FG2SLS) estimator for the regression parameters of the model. Finally, we prove consistency and derive the joint asymptotic distribution of the GM and FG2SLS estimators, enabling specification tests and a proper estimation of multi-way error component models with cross-sectionally dependent observations.