Title

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.

DOI

10.1016/j.econmod.2018.06.022

Persistent Identifier

https://archives.pdx.edu/ds/psu/27858

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