Small Sample Properties and Pretest Estimation of a Spatial Hausman-Taylor Model
نویسندگان
چکیده
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 fixed effects estimator is known to be consistent, but its disadvantage is that it wipes out the effects of timeinvariant variables which are important for most empirical studies. Monte Carlo results show that this spatial Hausman Taylor estimator performs well in small samples.
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