A Generalized Method of Moments Estimator for a Spatial Panel Model with an Endogenous Spatial Lag and Spatial Moving Average Errors

Abstract This paper proposes a new generalized method of moments (GMM) estimator for spatial panel models with spatial moving average errors combined with a spatially autoregressive dependent variable. Monte Carlo results are given suggesting that the GMM estimator is consistent. The estimator is applied to English real estate price data.

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Year of publication:	2008
Authors:	Fingleton, Bernard
Published in:	Spatial Economic Analysis. - Taylor & Francis Journals, ISSN 1742-1772. - Vol. 3.2008, 1, p. 27-44
Publisher:	Taylor & Francis Journals
Subject:	Moving averages \| GMM \| real estate \| spatial econometrics \| panel data

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005495722