<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...

This paper modifies the Hausman and Taylor (1981) panel data estimator to allow for serial correlation in the remainder disturbances. It demonstrates the gains in efficiency of this estimator versus the standard panel data estimators that ignore serial correlation using Monte Carlo experiments.

This paper derives a joint Lagrange Multiplier (LM) test which simultaneously tests for the absence of spatial lag dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two standard LM statistics. The first one tests for the...

This note shows that for a spatial regression with equal weights, the LM test is always equal to N / 2(N - 1), where N is the sample size. This means that this test statistics is a function of N and not a function of the spatial parameter [rho]. In fact, this test statistic tends to...

Following Arnold and Wied (2010), we suggest an improved generalized moments estimator for the spatial moving average error model which takes explicitly into account that the moment conditions are based on OLS residuals rather than the true disturbances.

This note studies the Lee and Yu (2009) spurious regression model for the special case where the weight matrix is normalized and has equal elements, and where the nonstationarity is caused by near unit roots. It shows that spurious spatial regression will not occur in a spatially autoregressive...

This paper considers the problem of estimation and forecasting in a panel data model with random individual effects and AR(p) remainder disturbances. It utilizes a simple exact transformation for the AR(p) time series process derived by Baltagi and Li (1994) and obtains the generalized least...

Baltagi and Li [Baltagi, B.H., Li, Q., 1992. A note on the estimation of simultaneous equations with error components. Econometric Theory 8, 113-119] showed that for estimating a single equation in a simultaneous panel data model, EC2SLS has more instruments than G2SLS. Although these extra...

Hausman [1978. Specification tests in econometrics. Econometrica 46, 1251-1271] showed that his specification test in panel data, which is based on the contrast between fixed effects (FE) and the random effects (RE) estimators, can also be obtained as a Wald test from an artificial OLS...