Small sample properties and pretest estimation of a spatial Hausman-Taylor model

Badi H. Baltagi, Peter H. Egger, Michaela Kesina

Research output: Chapter in Book/Entry/PoemConference contribution

2 Scopus citations


Purpose - This chapter considers a Hausman and Taylor (1981) panel data model that exhibits a Cliff and Ord (1973) spatial error structure. Methodology/approach - We analyze the small sample properties of a generalized moments estimation approach for that model. This spatial Hausman-Taylor estimator allows for endogeneity of the time-varying and time-invariant variables with the individual effects. For this model, the spatial fixed effects estimator is known to be consistent, but its disadvantage is that it wipes out the effects of time-invariant variables which are important for most empirical studies. Findings - Monte Carlo results show that the spatial Hausman-Taylor estimator performs well in small samples.

Original languageEnglish (US)
Title of host publicationEssays in Honor of Jerry Hausman
EditorsBadi Baltagi, Carter Hill, Whitney Newey, Halbert White
Number of pages22
StatePublished - 2012

Publication series

NameAdvances in Econometrics
ISSN (Print)0731-9053


  • Hausman-Taylor estimator
  • Small sample properties
  • Spatial random effects

ASJC Scopus subject areas

  • Economics and Econometrics


Dive into the research topics of 'Small sample properties and pretest estimation of a spatial Hausman-Taylor model'. Together they form a unique fingerprint.

Cite this