Resource title

OLS-based estimation of the disturbance variance under spatial autocorrelation

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Resource description

We investigate the OLS-based estimator s2 of the disturbance variance in the standard linear regression model with cross section data when the disturbances are homoskedastic, but spatially correlated. For the most popular model of spatially autoregressive disturbances, we show that s2 can be severely biased in finite samples, but is asymptotically unbiased and consistent for most types of spatial weighting matrices as sample size increases.

Resource author

Walter Krämer, Christoph Hanck

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22686

Resource license

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