The exact bias of s2 in linear panel regressions with spatial autocorrelation

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 110
Issue: 1
Pages: 67-70

Authors (2)

Hanck, Christoph (not in RePEc) Krämer, Walter (Universität Dortmund)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:110:y:2011:i:1:p:67-70
Journal Field
General
Author Count
2
Added to Database
2026-01-25