Improved GMM estimation of random effects panel data models with spatially correlated error components

Matthias Arnold; Dominik Wied

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Improved GMM estimation of random effects panel data models with spatially correlated error components

机译：具有空间相关误差分量的随机效应面板数据模型的改进GMM估计

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摘要

We modify a previously suggested GMM estimator in a spatial panel regression model, which has recently received considerable interest in empirical applications, by taking into account the difference between disturbances and regression residuals. Consistency and asymptotic normality of the estimator are derived. Analytic results, simulation evidence and an empirical application to Indonesian rice data illustrate the improvement in finite samples.

机译：我们通过考虑扰动和回归残差之间的差异，在空间面板回归模型中修改了先前建议的GMM估计量，该模型最近在经验应用中受到了广泛关注。推导了估计量的一致性和渐近正态性。分析结果，模拟证据和对印尼大米数据的经验应用说明了有限样本的改进。

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《Papers in regional science》 |2014年第1期|77-99|共23页
作者
Matthias Arnold; Dominik Wied;
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作者单位

Fakultaet Statistik, TU Dortmund D-44221 Dortmund, Germany;

Fakultaet Statistik, TU Dortmund D-44221 Dortmund, Germany;

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原文格式 PDF
正文语种 eng
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关键词
Panel regression; regression residuals; spatial autoregression; spatial econometrics;

机译：面板回归;回归残差空间自回归空间计量经济学;

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专利

1. Testing in a Random Effects Panel Data Model with Spatially Correlated Error Components and Spatially Lagged Dependent Variables [J] . Kuan-Pin Lin, Ming He Econometrics . 2015,第4期

机译：在具有空间相关的误差分量和空间滞后因变量的随机效应面板数据模型中进行测试
2. Finite sample properties of alternative GMM estimators for random effects models with spatially correlated errors [J] . Mario Larch, Janette Walde The Annals of Regional Science . 2009,第2期

机译：具有空间相关误差的随机效应模型的替代GMM估计的有限样本属性
3. Finite sample properties of alternative GMM estimators for random effects models with spatially correlated errors [J] . Mario Larch, Janette Walde The Annals of regional science . 2009,第2期

机译：具有空间相关误差的随机效应模型的替代GMM估计的有限样本属性
4. GMM and 2SLS estimation of panel data models with spatially lagg dependent variables and spatially correlated error components [C] . Zhengyu Zhang, Shuming Bao, Pingfang Zhu Conference on Geospatial Information Science; 20070525-27; Nanjing(CN) . 2007

机译：具有滞后因变量和空间相关误差分量的面板数据模型的GMM和2SLS估计
5. Essays on Nonparametric Identification: Identification of Dependent Multidimensional Unobserved Variables in a System of Linear Equations Identification and Estimation for Regressions with Errors in All Variables Identification of Nonparametrically Distributed Random Coefficients in Linear Panel Data Models. [D] . Ben-Moshe, Dan. 2012

机译：关于非参数识别的论文：线性方程组中相关多维多维观测变量的识别以及线性面板数据模型中非参数分布随机系数的所有变量中所有变量均具有误差的回归估计。
6. Estimation of Partially Specified Dynamic Spatial Panel Data Models with Fixed-Effects [O] . Yuanqing Zhang -1

机译：具有固定效果的部分指定动态空间面板数据模型的估计
7. Improved GMM estimation of panel data models with spatially correlated error components [O] . Arnold Matthias, Wied Dominik 2011

机译：具有空间相关误差分量的面板数据模型的改进GMM估计

Improved GMM estimation of random effects panel data models with spatially correlated error components

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