Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Asymptotic Properties of the Disturbance Variance Estimator in a Spatial Panel Data Regression Model with a Measurement Error Component

  • Lee, Jae-Jun (Department of Statistics, The University of Georgia)
  • Received : 20100100
  • Accepted : 20100500
  • Published : 2010.05.31
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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.

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References

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