Seemingly unrelated regressions with spatial error components

Empirical Economics

Volumn 40, Issue 1, 2011, Pages 5-49

  Baltagi, Badi H ^a   Pirotte, Alain ^b,c  

^a SYRACUSE UNIVERSITY   (United States)

^b UNIVERSITÉ PANTHÉON ASSAS   (France)

^c Lab Economic and Social Dynamics of Transport   (France)

Author keywords

Forecasting; Heterogeneity; Panel data; Seemingly unrelated regressions; Spatial dependence

Indexed keywords

CORRELATION; ECONOMIC ANALYSIS; ERROR ANALYSIS; FORECASTING METHOD; MAXIMUM LIKELIHOOD ANALYSIS; MONTE CARLO ANALYSIS; PANEL DATA; REGRESSION ANALYSIS;

EID: 79551683113     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-010-0373-8     Document Type: Article

References (29)

1. Anderson T (1984) An introduction to multivariate statistical analysis. Wiley, New York.
2. Anselin L (1988a) A test for spatial auto-correlation in seemingly unrelated regressions. Econ Lett 28: 335-341.
3. Anselin L (1988b) Spatial econometrics: methods and models. Kluwer, Dordrecht.
4. Avery RB (1977) Error components and seemingly unrelated regressions. Econometrica 45: 199-209.
5. Baltagi BH (1980) On seemingly unrelated regressions with error components. Econometrica 48: 1547-1551.
6. Baltagi BH (2008) Econometric analysis of panel data. Wiley, Chichester.
7. Baltagi BH, Rich D (2005) Skilled-biased technical change in U. S. manufacturing: a general index approach. J Econom 126: 549-570.
8. Baltagi BH, Griffin JM, Rich D (1995) Airline deregulation: the cost pieces of the puzzle. Int Econ Rev 36: 245-258.
9. Baltagi BH, Egger P, Pfaffermayr M (2007) A Monte Carlo study for pure and pretest estimators of a panel data model with spatially autocorrelated disturbances. Center for Policy Research Working Papers 98, Syracuse University.
10. Beierlein JG, Dunn JW, McConnon JC Jr (1981) The demand for electricity and natural gas in the Northeastern United States. Rev Econ Stat 63: 403-408.
11. Brown P, Kleidon AW, Marsh TA (1983) New evidence on the nature of size-related anomalies in stock prices. J Financ Econ 12: 33-56.
12. Egger P, Pfaffermayr M (2004) Distance, trade and FDI: a Hausman-Taylor SUR approach. J Appl Econom 19: 227-246.
13. Fiebig DG (2001) Seemingly unrelated regression. In: Baltagi BH (eds) Chapter 5. A companion to theoretical econometrics. Blackwell, Massachusetts.
14. Fingleton B (2008a) A generalized method of moments estimator for a spatial model with endogenous spatial lag and spatial moving average errors. Spatial Econ Anal 3: 27-44.
15. Fingleton B (2008b) A generalized method of moments estimator for a spatial model with moving average errors with application to real estate prices. Empir Econ 34: 35-57.
16. Howrey EP, Varian HR (1984) Estimating the distributional impact of time-of-day pricing of electricity. J Econom 26: 65-82.
17. Kapoor M, Kelejian HH, Prucha IR (2007) Panel data models with spatially correlated error components. J Econom 140: 97-130.
18. Kelejian HH, Prucha IR (1999) A generalized moments estimator for the autoregressive parameter in a spatial model. Int Econ Rev 40: 509-533.
19. Kinal T, Lahiri K (1990) A computational algorithm for multiple equation models with panel data. Econ Lett 34: 143-146.
20. Magnus JR (1982) Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood. J Econom 19: 239-285.
21. Pesaran MH, Smith R (1995) Estimating long-run relationships from dynamic heterogenous panels. J Econom 68: 79-113.
22. Prucha IR (1984) On the asymptotic efficiency of feasible Aitken estimators for seemingly unrelated regression models with error components. Econometrica 52: 203-207.
23. Sickles RC (1985) A nonlinear multivariate error components analysis of technology and specific factor productivity growth with an application to U. S. airlines. J Econom 27: 61-78.
24. Srivastava VK, Dwivedi TD (1979) Estimation of seemingly unrelated regression equations: a brief survey. J Econom 10: 15-32.
25. Srivastava VK, Giles DEA (1987) Seemingly unrelated regression equations models: estimation and inference. Marcel Dekker, New York.
26. Verbon HAA (1980) Testing for heteroscedasticity in a model of seemingly unrelated regression equations with variance components (SUREVC). Econ Lett 5: 149-153.
27. Wan GH, Griffiths WE, Anderson JR (1992) Using panel data to estimate risk effects in seemingly unrelated production functions. Empir Econ 17: 35-49.
28. Wang X, Kockelman KM (2007) Specification and estimation of a spatially and temporally autocorrelated seemingly unrelated regression model: application to crash rates in China. Transportation 34: 281-300.
29. Zellner A (1962) An efficient method of estimating seemingly unrelated regression equations and tests for aggregation bias. J Am Stat Assoc 57: 348-368.