|This centre is a member of The LSE Research Laboratory [RLAB]: CASE | CVER | CEP | SERC | STICERD||Cookies?|
Paper No' EM/2010/554: | Full paper
Save Reference as: BibTeX File | EndNote Import File
Keywords: Linear regression; Partly linear regression; Nonparametric regression; Spatial data; Instrumental variables; Asymptotic normality; Variance estimation
JEL Classification: C13; C14; C21
Is hard copy/paper copy available? YES - Paper Copy Still In Print.
This Paper is published under the following series: Econometrics
Share this page: Google Bookmarks | Facebook | Twitter
Abstract:Central limit theorems are developed for instrumental variables estimates of linear and semi-parametric partly linear regression models for spatial data. General forms of spatial dependence and heterogeneity in explanatory variables and unobservable disturbances are permitted. We discuss estimation of the variance matrix, including estimates that are robust to disturbance heteroscedasticity and/or dependence. A Monte Carlo study of finite-sample performance is included. In an empirical example, the estimates and robust and non-robust standard errors are computed from Indian regional data, following tests for spatial correlation in disturbances, and nonparametric regression fitting. Some final comments discuss modifications and extensions.
Copyright © RLAB & LSE 2003 - 2017 | LSE, Houghton Street, London WC2A 2AE | Contact: RLAB | Site updated 30 March 2017