The exact bias of s2 in linear panel regressions with spatial autocorrelation

We investigate the OLS-based estimator s2 of the disturbance variance in an error component linear panel regression model when the disturbances are homoskedastic, but spatially correlated. Although consistent (Song and Lee, Econ. Lett. 2008), s2 can be arbitrarily biased towards zero in finite samples.

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Year of publication:	2011
Authors:	Hanck, Christoph ; Krämer, Walter
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 110.2011, 1, p. 67-70
Publisher:	Elsevier
Keywords:	Panel data Spatial error correlation Bias

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

Persistent link: https://www.econbiz.de/10008867002