GMM estimation of spatial panels

We consider Generalized Method of Moments (GMM) estimation of a regression model with spatially correlated errors. We propose some new moment conditions, and derive the asymptotic distribution of the GMM based on them. The analysis is supported by a small Monte Carlo exercise.

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Year of publication:	2009-04-17
Authors:	Moscone, Francesco ; Tosetti, Elisa

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Moscone, Francesco and Tosetti, Elisa (2009): GMM estimation of spatial panels.
Classification:	C13 - Estimation ; A19 - General Economics. Other
Source:	BASE

Persistent link: https://www.econbiz.de/10015217621