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- Title
Finite sample properties of alternative GMM estimators for random effects models with spatially correlated errors.
- Authors
Larch, Mario; Walde, Janette
- 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.
- Subjects
ESTIMATION theory; MONTE Carlo method; NUMERICAL calculations; MATHEMATICAL models; ERRORS; GENERALIZED method of moments; MATRICES (Mathematics)
- Publication
Annals of Regional Science, 2009, Vol 43, Issue 2, p473
- ISSN
0570-1864
- Publication type
Article
- DOI
10.1007/s00168-008-0222-2