Document Type

Working Paper

Date

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.

Source

local input

Creative Commons License

Creative Commons Attribution 3.0 License
This work is licensed under a Creative Commons Attribution 3.0 License.

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