期刊
JOURNAL OF ECONOMETRICS
卷 140, 期 1, 页码 97-130出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2006.09.004
关键词
panel data model; spatial model; error component model
In this paper we consider a panel data model with error components that are both spatially and time-wise correlated. The model blends specifications typically considered in the spatial literature with those considered in the error components literature. We introduce generalizations of the generalized moments estimators suggested in Kelejian and Prucha (1999. A generalized moments estimator for the autoregressive parameter in a spatial model. International Economic Review 40, 509-533) for estimating the spatial autoregressive parameter and the variance components of the disturbance process. We then use those estimators to define a feasible generalized least squares procedure for the regression parameters. We give formal large sample results for the proposed estimators. We emphasize that our estimators remain computationally feasible even in large samples. (C) 2006 Elsevier B.V. All rights reserved.
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