The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term
<title>Abstract</title> This paper considers the estimation of a linear regression involving the spatial autoregressive (SAR) error term which is nearly nonstationary. The asymptotics properties of the ordinary least squares (OLS), true generalized least squares (GLS) and feasible generalized least squares (FGLS) estimators as well as the corresponding Wald test statistics are derived. Monte Carlo results are conducted to study the sampling behavior of the proposed estimators and test statistics.
Year of publication: |
2013
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Authors: | Baltagi, Badi H. ; Kao, Chihwa ; Liu, Long |
Published in: |
Spatial Economic Analysis. - Taylor & Francis Journals, ISSN 1742-1772. - Vol. 8.2013, 3, p. 241-270
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Publisher: |
Taylor & Francis Journals |
Saved in:
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