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Egger, Peter [Author]; Larch, Mario [Author]; Pfaffermayr, Michael [Author]; Walde, Janette F. [Author]

Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors

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  • Media type: Report; E-Book
  • Title: Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors
  • Contributor: Egger, Peter [Author]; Larch, Mario [Author]; Pfaffermayr, Michael [Author]; Walde, Janette F. [Author]
  • Published: Munich: Center for Economic Studies and ifo Institute (CESifo), 2005
  • Language: English
  • Keywords: Monte Carlo studies ; C12 ; maximum likelihood estimation ; hypothesis tests ; R10 ; Autokorrelation ; C21 ; generalized method of moments ; Momentenmethode ; Theorie ; spatial autocorrelation ; Statistischer Test ; Maximum-Likelihood-Methode
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: This paper undertakes a Monte Carlo study to compare MLE-based and GMM-based tests regarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM estimation as derived by Kelejian and Prucha (2005a) performs surprisingly well. Our Monte Carlo study indicates that the GMM Wald-test is correctly sized even in small samples and exhibits the same power as their MLE-based counterparts. Since GMM estimates are much easier to calculate, the GMM Wald-test is recommended for applied researches.
  • Access State: Open Access