A generalized method of moments estimator for a spatial panel model with an endogenous spatial lag and spatial moving average errors

Spatial Economic Analysis

Volumn 3, Issue 1, 2008, Pages 27-44

  Fingleton, Bernard ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 39649088935     PISSN: 17421772     EISSN: 17421780     Source Type: Journal    
DOI: 10.1080/17421770701774922     Document Type: Article

References (19)

1. Anselin, L. (1988) Spatial Econometrics: Methods and Models, Kluwer, Dordrecht
2. Baltagi, B. H. (2005) Econometric Analysis of Panel Data, Wiley, Chichester
3. Baltagi, B. H. and Li, D. (2006) Prediction in the panel data model with spatial correlation: The case of liquor. Spatial Economic Analysis, 1, pp. 175-185.
4. Baltagi, B. H., Song, S. H. and Koh, W. (2003) Testing panel data regression models with spatial error correlation. Journal of Econometrics, 117, pp. 123-150.
5. Bowden, R. J. and Turkington, D. A. (1984) Instrumental Variables, Cambridge University Press, Cambridge
6. Brueckner, J. K. (2003) Strategic interaction among governments: An overview of empirical studies. International Regional Science Review, 26, pp. 175-188.
7. Chen, X. and Conley, T. G. (2001) A new semiparametric spatial model for panel time series. Journal of Econometrics, 105, pp. 59-83.
8. Conley, T. G. (1999) GMM estimation with cross sectional dependence. Journal of Econometrics, 92, pp. 1-45.
9. Druska, V. and Horrace, W. C. (2003) Generalized Moments Estimation for Spatial Panel Data
10. Dubin, R. A. (1988) Estimation of regression coefficients in the presence of spatially autocorrelated error terms. Review of Economics and Statistics, 70, pp. 466-474.
11. Elhorst, J. P. (2003) Specification and estimation of spatial panel data models. International Regional Science Review, 26, pp. 244-268.
12. Greene, W. H. (2003) Econometric Analysis, Prentice Hall, Upper Saddle River, NJ
13. Haining, R. P. (1978) The moving average model for spatial interaction. Transactions of the Institute of British Geographers, 3, pp. 202-225.
14. Harvey, A. C. (1990) The Economic Analysis of Time Series, MIT Press, Cambridge, MA
15. Kapoor, M., Kelejian, H. H. and Prucha, I. (2007) Panel data models with spatially correlated error components. Journal of Econometrics, 140, pp. 97-130.
16. Kelejian, H. H. and Prucha, I. R. (1998) A generalized spatial two-stage least squares procedure for estimating a spatial autoregressive model with autoregressive disturbances. Journal of Real Estate Finance and Economics, 17, pp. 99-121.
17. Kelejian, H. H. and Prucha, I. R. (1999) A generalized moments estimator for the autoregressive parameter in a spatial model. International Economic Review, 40, pp. 509-533.
18. Pinkse, J., Slade, M. and Shen, L. (2006) Dynamic spatial discrete choice using one-step GMM: An application to mine operating decisions. Spatial Economic Analysis, 1, pp. 53-99.
19. Smirnov, O. and Anselin, L. (2001) Fast maximum likelihood estimation of very large spatial autoregressive models: A characteristic polynomial approach. Computational Statistics and Data Analysis, 35, pp. 301-319.