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Improved GMM estimation of random effects panel data models with spatially correlated error components

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  • Matthias Arnold
  • Dominik Wied

Abstract

type="main" xml:lang="es"> Hemos modificado un estimador GMM sugerido previamente en un modelo de regresión de panel espacial, que ha recibido recientemente un gran interés en las aplicaciones empíricas, teniendo en cuenta la diferencia entre las perturbaciones y los residuos de la regresión. Se deducen la consistencia y normalidad asintótica del estimador. Los resultados analíticos, las pruebas de simulación y una aplicación empírica que utiliza datos de arroz de Indonesia ilustran la mejora en muestras finitas.

Suggested Citation

  • Matthias Arnold & Dominik Wied, 2014. "Improved GMM estimation of random effects panel data models with spatially correlated error components," Papers in Regional Science, Wiley Blackwell, vol. 93(1), pages 77-99, March.
    • Handle: RePEc:bla:presci:v:93:y:2014:i:1:p:77-99
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    File URL: http://hdl.handle.net/10.1111/j.1435-5957.2012.00472.x
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    References listed on IDEAS

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