Finite Sample Properties of Estimators of Spatial Models with Autoregressive, or Moving Average, Disturbances and System Feedback
This paper extends Kelejian and Prucha's [1998] feasible generalized spatial two-stage least squares (FGS2SLS) estimator to account for endogenous variables due to system feedback, given an autoregressive or a moving average error process. An empirical example illustrating the different estimators is proposed. The finite sample properties of the estimators are investigated by means of Monte-Carlo simulations depending of the sample size, the weights matrix, the presence of cross-equation correlation and the nature of the instruments.
Year of publication: |
2007
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Authors: | FINGLETON, Bernard ; GALLO, Julie LE |
Published in: |
Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 2007, 87-88, p. 39-62
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Publisher: |
École Nationale de la Statistique et de l'Admnistration Économique (ENSAE) |
Saved in:
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