Publication Type

Journal Article

Publication Date

11-2016

Abstract

This paper first presents simple methods for conducting up to third-order bias and variance corrections for the quasi maximum likelihood (QML) estimators of the spatial parameter(s) in the fixed effects spatial panel data (FE-SPD) models. Then, it shows how the bias and variance corrections lead to refined t-ratios for spatial effects and for covariate effects. The implementation of these corrections depends on the proposed bootstrap methods of which validity is established. Monte Carlo results reveal that (i) the QML estimators of the spatial parameters can be quite biased, (ii) a second-order bias correction effectively removes the bias, and (iii) the proposed t-ratios are much more reliable than the usual t-ratios.

Keywords

Bias correction, Bootstrap, Fixed effects, Refined t-ratios, Spatial panels, Variance correction, Wild bootstrap

Discipline

Econometrics | Economics

Research Areas

Econometrics

Publication

Regional Science and Urban Economics D

Volume

61

First Page

52

Last Page

72

ISSN

0166-0462

Identifier

10.1016/j.regsciurbeco.2016.08.003

Publisher

Elsevier

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1016/j.regsciurbeco.2016.08.003

Included in

Econometrics Commons

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