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| Lambert, Dayton M.; Florax, Raymond J.G.M.; Cho, Seong-Hoon. |
| This research note documents estimation procedures and results for an empirical investigation of the performance of the recently developed spatial, heteroskedasticity and autocorrelation consistent (HAC) covariance estimator calibrated with different kernel bandwidths. The empirical example is concerned with a hedonic price model for residential property values. The first bandwidth approach varies an a priori determined plug-in bandwidth criterion. The second method is a data driven cross-validation approach to determine the optimal neighborhood. The third approach uses a robust semivariogram to determine the range over which residuals are spatially correlated. Inference becomes more conservative as the plug-in bandwidth is increased. The data-driven... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Spatial HAC; Semivariogram; Bandwidth; Hedonic model; Research Methods/ Statistical Methods; C13; C31; R21. |
| Ano: 2008 |
URL: http://purl.umn.edu/45964 |
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