Small Sample Properties of Maximum Likelihood Versus Generalized Method of Moments Based Tests for Spatially Autocorrelated Errors

This paper undertakes a Monte Carlo study to compare MLE-based and GMM-based tests regarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM estimation as derived by Kelejian and Prucha (2005a) performs surprisingly well. Our Monte Carlo study indicates that the GMM Wald-test is correctly sized even in small samples and exhibits the same power as their MLE-based counterparts. Since GMM estimates are much easier to calculate, the GMM Wald-test is recommended for applied researches

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Year of publication:	[2021]
Authors:	Egger, Peter ; Larch, Mario ; Pfaffermayr, Michael ; Walde, Janette
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Momentenmethode \| Method of moments \| Autokorrelation \| Autocorrelation \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Statistischer Test \| Statistical test

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