at Google ScholarTitle data
Larch, Mario ; Walde, Janette:
Finite Sample Properties of Alternative GMM Estimators for Random Effects Models with Spatially Correlated Errors.
In: The Annals of Regional Science.
Vol. 43
(2009)
Issue 2
.
- pp. 473-490.
ISSN 1432-0592
DOI: https://doi.org/10.1007/s00168-008-0222-2
Abstract in another language
For panel data models with error components that are spatially correlated, the finite sample properties of alternative generalized method of moments (GMM) estimators are determined. We suggest using a continuously updated GMM estimator which is invariant to curvature altering transformations and which should improve small sample efficiency. A Monte Carlo study using a wide range of settings compares the small sample efficiency of various GMM approaches and the maximum likelihood estimator (MLE). The GMM estimators turn out to perform comparably to the MLE approach and even outperform the latter for complex weighting matrices and non-normally distributed errors.
Further data
| Item Type: | Article in a journal |
|---|---|
| Refereed: | Yes |
| Subject classification: | C21; C23; H77; R15 |
| 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: | 15 Oct 2015 11:03 |
| Last Modified: | 15 Oct 2015 11:03 |
| URI: | https://eref.uni-bayreuth.de/id/eprint/16667 |