Efficient GMM Estimation of a Cliff and Ord Panel Data Model with Random Effects
Regional Research Institute
The present paper suggests an estimation procedure for a Cliff and Ord type spatial panel data model with random effects. Building on existing literature, the paper suggests an estimation procedure that (i) considers all the moment conditions in Kapoor et al. (2007) and (ii) allows for the presence of explanatory variables that do not vary over time. Our Monte Carlo results demonstrate that the estimation procedure proposed in this paper is very effective.
Digital Commons Citation
Piras, Gianfranco, "Efficient GMM Estimation of a Cliff and Ord Panel Data Model with Random Effects" (2013). Regional Research Institute Working Papers. 214.
Gianfranco Piras (2013) Efficient GMM Estimation of a Cliff and Ord Panel Data Model with Random Effects, Spatial Economic Analysis, 8:3, 370-388, DOI: 10.1080/17421772.2013.804628