@article{069383b1b80241d7b114cba048cd1579,
title = "Seemingly unrelated regressions with spatial error components",
abstract = "This article considers various estimators using panel data seemingly unrelated regressions (SUR) with spatial error correlation. The true data generating process (DGP) is assumed to be SUR with spatial error of the autoregressive or moving average type. Moreover, the remainder term of the spatial process is assumed to follow an error component structure. Both maximum likelihood (ML) and generalized moments (GM) methods of estimation are used. Using Monte Carlo experiments, we check the performance of these estimators and their forecasts under misspecification of the spatial error process, various spatial weight matrices, and heterogeneous versus homogeneous panel data models.",
keywords = "Forecasting, Heterogeneity, Panel data, Seemingly unrelated regressions, Spatial dependence",
author = "Baltagi, {Badi H.} and Alain Pirotte",
note = "Funding Information: The SDSS9 is managed by the Astrophysical Research Consortium (ARC) for the Participating Institutions. The Participating Institutions are the University of Chicago, Fermilab, the Institute for Advanced Study, the Japan Participation Group, the Johns Hopkins University, Los Alamos National Laboratory, the Max-Planck-Institute for Astronomy (MPIA), the Max-Planck-Institute for Astrophysics (MPA), New Mexico State University, the University of Pittsburgh, Princeton University, the US Naval Observatory, and the University of Washington. Funding Information: Funding for the creation and distribution of the SDSS Archive has been provided by the Alfred P. Sloan Foundation, the Participating Institutions, the National Aeronautics and Space Administration, the National Science Foundation, the US Department of Energy, the Japanese Monbukagakusho, and the Max Planck Society. Funding Information: D. B. Z. and E. F. B., respectively, acknowledge support from an NSF International Postdoctoral Fellowship and from the European Community{\textquoteright}s Human Potential Program contract HPRN-CT-2002-00316, SISCO.",
year = "2011",
month = feb,
doi = "10.1007/s00181-010-0373-8",
language = "English (US)",
volume = "40",
pages = "5--49",
journal = "Empirical Economics",
issn = "0377-7332",
publisher = "Physica-Verlag",
number = "1",
}