A Generalized Method of Moments Estimator for a Spatial Panel Model with an Endogenous Spatial Lag and Spatial Moving Average Errors

被引：84

作者：

Fingleton, Bernard ^{[1
]}

机构：

[1] Univ Strathclyde, Dept Econ, Glasgow G4 0GE, Lanark, Scotland

来源：

SPATIAL ECONOMIC ANALYSIS | 2008年 / 3卷 / 01期

基金：

英国经济与社会研究理事会;

关键词：

Moving averages; GMM; real estate; spatial econometrics; panel data;

D O I：

10.1080/17421770701774922

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a new generalized method of moments (GMM) estimator for spatial panel models with spatial moving average errors combined with a spatially autoregressive dependent variable. Monte Carlo results are given suggesting that the GMM estimator is consistent. The estimator is applied to English real estate price data.

引用

页码：27 / 44

页数：18

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