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Proceedings Paper

GMM and 2SLS estimation of panel data models with spatially lagged dependent variables and spatially correlated error components
Author(s): Zhengyu Zhang; Shuming Bao; Pingfang Zhu
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Paper Abstract

In this article, the GMM based estimation of a typical family of spatial panel models with spatially lagged dependent variables and error components that are both spatially and time-wise correlated is addressed. We derive the best GMM (BGMM) estimator within certain class of optimal GMM estimators. We also discuss the asymptotic efficiency of BGMM estimator relative to the panel analogue of generalized spatial two stage least squares (GS2SLS) estimators and maximum likelihood (ML) estimators. We show that by including GS2SLS estimators as a special case, the BGMM estimator is generally more efficient than GS2SLS estimator and able to be as efficient as ML estimator under normality.

Paper Details

Date Published: 25 July 2007
PDF: 12 pages
Proc. SPIE 6753, Geoinformatics 2007: Geospatial Information Science, 67531F (25 July 2007); doi: 10.1117/12.761375
Show Author Affiliations
Zhengyu Zhang, Jiangxi Normal Univ. (China)
Shanghai Univ. of Finance and Economics (China)
Shuming Bao, Jiangxi Normal Univ. (China)
Pingfang Zhu, Shanghai Academy of Social Science (China)

Published in SPIE Proceedings Vol. 6753:
Geoinformatics 2007: Geospatial Information Science
Jingming Chen; Yingxia Pu, Editor(s)

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