| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5061027 | Economics Letters | 2011 | 4 Pages |
Abstract
We investigate the OLS-based estimator s2 of the disturbance variance in an error component linear panel regression model when the disturbances are homoskedastic, but spatially correlated. Although consistent (Song and Lee, Econ. Lett. 2008), s2 can be arbitrarily biased towards zero in finite samples.
Research Highlights⺠The OLS variance estimator in a spatial linear panel regression is consistent. ⺠It can nevertheless be arbitrarily biased towards zero in finite samples. ⺠Examples of the extent of the bias are provided.
Related Topics
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Economics and Econometrics
Authors
Christoph Hanck, Walter Krämer,