at Google ScholarTitle data
Egger, Peter ; Larch, Mario ; Pfaffermayr, Michael ; Walde, Janette:
Small Sample Properties of Maximum Likelihood versus Generalized Method of Moments based Tests for Spatially Autocorrelated Errors.
In: Regional Science and Urban Economics.
Vol. 39
(2009)
Issue 6
.
- pp. 670-678.
ISSN 0166-0462
DOI: https://doi.org/10.1016/j.regsciurbeco.2008.09.003
Abstract in another language
Many applied researchers have to deal with spatially autocorrelated residuals (SAR). Available tests that identify spatial spillovers as captured by a significant SAR parameter, are either based on maximum likelihood (MLE) or generalized method of moments (GMM) estimates. This paper illustrates the properties of various tests for the null hypothesis of a zero SAR parameter in a comprehensive Monte Carlo study. The main finding is that Wald tests generally perform well regarding both size and power even in small samples. The GMM-based Wald test is correctly sized even for non-normally distributed disturbances and small samples, and it exhibits a similar power as its MLE-based counterpart. Hence, for the applied researcher the GMM Wald test can be recommended, because it is easy to implement.
Further data
| Item Type: | Article in a journal |
|---|---|
| Refereed: | Yes |
| Keywords: | Spatial autocorrelation; Hypothesis tests; Monte Carlo studies; Maximum likelihood estimation; Generalized method of moments |
| Subject classification: | C12; C21; R10 |
| Institutions of the University: | Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics VI: Empirical Economic Research Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics VI: Empirical Economic Research > Chair Economics VI: Empirical Economic Research - Univ.-Prof. Dr. Mario Larch Faculties Faculties > Faculty of Law, Business and Economics Faculties > Faculty of Law, Business and Economics > Department of Economics |
| Result of work at the UBT: | No |
| DDC Subjects: | 300 Social sciences > 330 Economics |
| Date Deposited: | 14 Oct 2015 13:38 |
| Last Modified: | 20 Jan 2022 13:01 |
| URI: | https://eref.uni-bayreuth.de/id/eprint/16644 |