Resource title

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

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Resource 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.

Resource author

Peter Egger, Mario Larch, Michael Pfaffermayr, Janette F. Walde

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Resource publish date

Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/19022

Resource license

Adapt according to the presented license agreement and reference the original author.