Document Type
Working Paper
Date
8-2012
Embargo Period
10-8-2012
Keywords
Hausman-Taylor estimator; Spatial random effects; Small sample properties
Disciplines
Economics | Public Affairs, Public Policy and Public Administration
Description/Abstract
This paper considers a Hausman and Taylor (1981) panel data model that exhibits a Cliff and Ord (1973) spatial error structure. We analyze the small sample properties of a generalized moments estimation approach for that model. This spatial Hausman-Taylor estimator allows for endogeneity of the time-varying and time-invariant variables with the individual effects. For this model, the spatial effects estimator is known to be consistent, but its disadvantage is that it wipes out the effects of time-invariant variables, which are important for most empirical studies. Monte Carlo results show that the spatial Hausman-Taylor estimator performs well in small samples.
Recommended Citation
Baltagi, Badi; Egger, Peter H.; and Kesina, Michaela, "Small Sample Properties and Pretest Estimation of a Spatial Hausman-Taylor Model" (2012). Center for Policy Research. Paper 189.
http://surface.syr.edu/cpr/189
Source
local input
Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.