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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19022Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Egger, Peter | - |
| dc.creator | Larch, Mario | - |
| dc.creator | Pfaffermayr, Michael | - |
| dc.creator | Walde, Janette F. | - |
| dc.date | 2005 | - |
| dc.date.accessioned | 2013-10-16T07:02:26Z | - |
| dc.date.available | 2013-10-16T07:02:26Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/19022 | - |
| dc.identifier | ppn:503677639 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19022 | - |
| dc.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. | - |
| dc.language | eng | - |
| dc.publisher | - | |
| dc.relation | CESifo working papers 1558 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | C12 | - |
| dc.subject | R10 | - |
| dc.subject | C21 | - |
| dc.subject | ddc:330 | - |
| dc.subject | spatial autocorrelation | - |
| dc.subject | hypothesis tests | - |
| dc.subject | Monte Carlo studies | - |
| dc.subject | maximum likelihood estimation | - |
| dc.subject | generalized method of moments | - |
| dc.subject | Maximum-Likelihood-Methode | - |
| dc.subject | Momentenmethode | - |
| dc.subject | Autokorrelation | - |
| dc.subject | Statistischer Test | - |
| dc.subject | Theorie | - |
| dc.title | Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors | - |
| dc.type | doc-type:workingPaper | - |
| Appears in Collections: | EconStor | |
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