Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Finite sample properties of alternative GMM estimators for random effects models with spatially correlated errors
Abstract For panel data models with error components that are spatially correlated, the finite sample properties of alternative generalized method of moments (GMM) estimators are determined. We suggest using a continuously updated GMM estimator which is invariant to curvature altering transformations and which should improve small sample efficiency. A Monte Carlo study using a wide range of settings compares the small sample efficiency of various GMM approaches and the maximum likelihood estimator (MLE). The GMM estimators turn out to perform comparably to the MLE approach and even outperform the latter for complex weighting matrices and non-normally distributed errors.
Finite sample properties of alternative GMM estimators for random effects models with spatially correlated errors
Abstract For panel data models with error components that are spatially correlated, the finite sample properties of alternative generalized method of moments (GMM) estimators are determined. We suggest using a continuously updated GMM estimator which is invariant to curvature altering transformations and which should improve small sample efficiency. A Monte Carlo study using a wide range of settings compares the small sample efficiency of various GMM approaches and the maximum likelihood estimator (MLE). The GMM estimators turn out to perform comparably to the MLE approach and even outperform the latter for complex weighting matrices and non-normally distributed errors.
Finite sample properties of alternative GMM estimators for random effects models with spatially correlated errors
Larch, Mario (Autor:in) / Walde, Janette (Autor:in)
2008
Aufsatz (Zeitschrift)
Elektronische Ressource
Englisch
BKL:
83.64$jRegionalwirtschaft
/
74.12
Stadtgeographie, Siedlungsgeographie
/
38.00$jGeowissenschaften: Allgemeines
/
38.00
Geowissenschaften: Allgemeines
/
83.64
Regionalwirtschaft
/
74.12$jStadtgeographie$jSiedlungsgeographie
RVK:
ELIB39
/
ELIB18
/
ELIB45
Lokalklassifikation FBW:
oek 4450
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