| 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 |
|