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.
Original language | English (US) |
---|---|
Pages (from-to) | 5-49 |
Number of pages | 45 |
Journal | Empirical Economics |
Volume | 40 |
Issue number | 1 |
DOIs | |
State | Published - Feb 2011 |
Keywords
- Forecasting
- Heterogeneity
- Panel data
- Seemingly unrelated regressions
- Spatial dependence
ASJC Scopus subject areas
- Statistics and Probability
- Mathematics (miscellaneous)
- Social Sciences (miscellaneous)
- Economics and Econometrics