Improved GMM estimation of the spatial autoregressive error model

We suggest an improved GMM estimator for the autoregressive parameter of a spatial autoregressive error model by taking into account that unobservable regression disturbances are different from observable regression residuals.

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Year of publication:	2010
Authors:	Arnold, Matthias ; Wied, Dominik
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 108.2010, 1, p. 65-68
Publisher:	Elsevier
Keywords:	GMM estimation Spatial autoregression Regression residuals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008494866