An improved generalized moments estimator for a spatial moving average error model

Badi H. Baltagi; Long Liu

doi:10.1016/j.econlet.2011.08.015

An improved generalized moments estimator for a spatial moving average error model

Badi H. Baltagi, Long Liu

Department of Economics

Research output: Contribution to journal › Article › peer-review

12 Scopus citations

Abstract

Following Arnold and Wied (2010), we suggest an improved generalized moments estimator for the spatial moving average error model which takes explicitly into account that the moment conditions are based on OLS residuals rather than the true disturbances.

Original language	English (US)
Pages (from-to)	282-284
Number of pages	3
Journal	Economics Letters
Volume	113
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2011.08.015
State	Published - Dec 2011

Keywords

Method of moments estimation
Regression residuals
Spatial moving average

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2011.08.015

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title = "An improved generalized moments estimator for a spatial moving average error model",

abstract = "Following Arnold and Wied (2010), we suggest an improved generalized moments estimator for the spatial moving average error model which takes explicitly into account that the moment conditions are based on OLS residuals rather than the true disturbances.",

keywords = "Method of moments estimation, Regression residuals, Spatial moving average",

author = "Baltagi, {Badi H.} and Long Liu",

year = "2011",

month = dec,

doi = "10.1016/j.econlet.2011.08.015",

language = "English (US)",

volume = "113",

pages = "282--284",

journal = "Economics Letters",

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T1 - An improved generalized moments estimator for a spatial moving average error model

AU - Baltagi, Badi H.

AU - Liu, Long

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N2 - Following Arnold and Wied (2010), we suggest an improved generalized moments estimator for the spatial moving average error model which takes explicitly into account that the moment conditions are based on OLS residuals rather than the true disturbances.

AB - Following Arnold and Wied (2010), we suggest an improved generalized moments estimator for the spatial moving average error model which takes explicitly into account that the moment conditions are based on OLS residuals rather than the true disturbances.

KW - Method of moments estimation

KW - Regression residuals

KW - Spatial moving average

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M3 - Article

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SP - 282

EP - 284

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

An improved generalized moments estimator for a spatial moving average error model

Abstract

Keywords

ASJC Scopus subject areas

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