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http://dx.doi.org/10.5351/CKSS.2010.17.3.349

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)
Publication Information
Communications for Statistical Applications and Methods / v.17, no.3, 2010 , pp. 349-356 More about this Journal
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;
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