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This paper focusses on the estimation of error components models in the presence of a correlation of the disturbances across equations and AR(1) of the remainder disturbances for panel data with endogenous unobserved effects. Additionally, the set-up allows for unequally spaced panel data and...
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This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM)...
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