NDLI: Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances

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Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances

Content Provider	Semantic Scholar
Author	Badinger, Harald Egger, Peter
Copyright Year	2015
Abstract	This paper develops a unified framework for fixed and random effects estimation of higher-order spatial autoregressive panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error component. 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 both a random effects and a fixed effects spatial generalized two-stage least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators and derive their joint asymptotic distribution, which is robust to heteroskedasticity of unknown form in the idiosyncratic error component. Finally, we derive a robust Hausman-test of the spatial random against the spatial fixed effects model.
Starting Page	11
Ending Page	35
Page Count	25
File Format	PDF HTM / HTML
DOI	10.1080/17421772.2014.992362
Volume Number	10
Alternate Webpage(s)	http://epub.wu.ac.at/4126/1/wp173.pdf
Alternate Webpage(s)	https://doi.org/10.1080/17421772.2014.992362
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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