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>Estimation and Testing of Higher-Order Spatial Autoregressive Panel Data Error Component Models
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Estimation and Testing of Higher-Order Spatial Autoregressive Panel Data Error Component Models
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机译:高阶空间自回归面板数据误差分量模型的估计和测试
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摘要
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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