A Generalized Method of Moments Estimator for a Spatial Panel Model with an Endogenous Spatial Lag and Spatial Moving Average Errors

By Bernard Fingleton. 2008

141 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b3d45e090757d5dbffad54dc9a8d6db051111118

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Thirty years of spatial econometrics (2010, methodology): “Others consider the moving average error specification (e.g., Fingleton 2008a, 2008b), and new expressions for the error variance-covariance matrix, such as the matrix exponential (LeSage and Pace 2007).”
GMM estimation of social interaction models with centrality (2010, methodology): “7For models with row-normalized spatial matrices, some empirical studies assume Mr = Wr , (see, e.g., Cohen, 2002; Fingleton, 2008).”
A non-parametric spatial independence test using symbolic entropy (2010, background): “…in connection with spatial models, which leads to a new battery of tests of spatial dependence based, directly or indirectly, on the GMM principle (Anselin and Kelejian, 1997, Kelejian and Prucha, 1999, Conley, 1999, Saavedra, 2003, Kelejian and Prucha, 2004 and 2007, and Fingleton, 2008).”
Seemingly unrelated regressions with spatial error components (2011, methodology): “The average heterogeneous SUR assuming a SMA specification on the remainder disturbances using Fingleton (2008b) GM approach to es- timate λ̂jt.”
Generalized Spatial and Spatiotemporal Autoregressive Conditional Heteroscedasticity (2016, methodology): “n 2010). In particular, the spatial models introduced by Whittle (1954) were extended to incorporate external regressors (see, e.g., Elhorst 2010 for an overview), and autocorrelated residuals (e.g., Fingleton 2008a), respectively. Currently, these spatial models are widely implemented in statistica”
Large Panels with Common Factors and Spatial Correlation (2011, methodology): “Fingleton (2008) extended Kapoor, Kelejian, and Prucha (2007) contribution on GMM estimation of spatial random e¤ects panels to the case where the idiosyncratic error term follows a spatial moving average process, while Egger, Pfa¤ermayr, and Winner (2005) have focused on extensions to the case of u”