Hierarchically Spatial Autoregressive and Moving Average Error Model
Published In
Economic Modelling
Document Type
Citation
Publication Date
1-1-2019
Abstract
This paper considers a hierarchically spatial autoregressive and moving average error (HSEARMA) model. This model captures the spatially autoregressive and moving average error correlation, the county-level random effects, and the district-level random effects nested within each county. We propose optimal generalized method of moments (GMM) estimators for the spatial error correlation coefficient and the error components' variances terms, as well as a feasible generalized least squares (FGLS) estimator for the regression parameter vector. Further, we prove consistency of the GMM estimator and establish the asymptotic distribution of the FGLS estimator. A finite-scale Monte Carlo simulation is conducted to demonstrate the good finite sample performances of our GMM-FGLS estimators.
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DOI
10.1016/j.econmod.2018.06.022
Persistent Identifier
https://archives.pdx.edu/ds/psu/27858
Citation Details
Ye, Q., Liang, H., Lin, K.-P., & Long, Z. (2019). Hierarchically Spatial Autoregressive and Moving Average Error Model. Economic Modelling, 76, 14–30. Retrieved from http://stats.lib.pdx.edu/proxy.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1748085&site=ehost-live