Asymptotic Properties of the Disturbance Variance Estimator in a Spatial Panel Data Regression Model with a Measurement Error Component

Title & Authors
Asymptotic Properties of the Disturbance Variance Estimator in a Spatial Panel Data Regression Model with a Measurement Error Component
Lee, Jae-Jun;

Abstract
The ordinary least squares based estimator of the disturbance variance in a regression model for spatial panel data is shown to be asymptotically unbiased and weakly consistent in the context of SAR(1), SMA(1) and SARMA(1,1)-disturbances when there is measurement error in the regressor matrix.
Keywords
Asymptotic unbiasedness;consistency;measurement error;spatial panel;
Language
English
Cited by
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