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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19022| Title: | Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors |
| Keywords: | C12 R10 C21 ddc:330 spatial autocorrelation hypothesis tests Monte Carlo studies maximum likelihood estimation generalized method of moments Maximum-Likelihood-Methode Momentenmethode Autokorrelation Statistischer Test Theorie |
| Issue Date: | 16-Oct-2013 |
| Publisher: | |
| Description: | This paper undertakes a Monte Carlo study to compare MLE-based and GMM-based tests regarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM estimation as derived by Kelejian and Prucha (2005a) performs surprisingly well. Our Monte Carlo study indicates that the GMM Wald-test is correctly sized even in small samples and exhibits the same power as their MLE-based counterparts. Since GMM estimates are much easier to calculate, the GMM Wald-test is recommended for applied researches. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19022 |
| Other Identifiers: | http://hdl.handle.net/10419/19022 ppn:503677639 |
| Appears in Collections: | EconStor |
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