Finite sample properties of estimators of spatial models with autoregressive, or moving average, disturbances and system feedback

B. Fingleton, J. Le Gallo

Research output: Contribution to journal › Article

Abstract

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.
LanguageEnglish
Pages39-62
Number of pages24
JournalAnnales d'Économie et de Statistique
Issue number87/88
Publication statusPublished - 2007

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Finite sample properties
Spatial model
Moving average
Estimator
Two-stage least squares
Sample size
Monte Carlo simulation
Least squares estimator
Endogenous variables

Keywords

  • Spatial models
  • Monte Carlo simulation
  • weights matrix

Cite this

Fingleton, B. ; Le Gallo, J. / Finite sample properties of estimators of spatial models with autoregressive, or moving average, disturbances and system feedback. In: Annales d'Économie et de Statistique. 2007 ; No. 87/88. pp. 39-62.
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Fingleton, B & Le Gallo, J 2007, 'Finite sample properties of estimators of spatial models with autoregressive, or moving average, disturbances and system feedback' Annales d'Économie et de Statistique, no. 87/88, pp. 39-62.

Finite sample properties of estimators of spatial models with autoregressive, or moving average, disturbances and system feedback. / Fingleton, B.; Le Gallo, J.

In: Annales d'Économie et de Statistique, No. 87/88, 2007, p. 39-62.

Research output: Contribution to journal › Article

TY - JOUR

T1 - Finite sample properties of estimators of spatial models with autoregressive, or moving average, disturbances and system feedback

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AU - Le Gallo, J.

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AB - 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.

KW - Spatial models

KW - Monte Carlo simulation

KW - weights matrix

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JO - Annales d'Économie et de Statistique

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SN - 0769-489X

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Fingleton B, Le Gallo J. Finite sample properties of estimators of spatial models with autoregressive, or moving average, disturbances and system feedback. Annales d'Économie et de Statistique. 2007;(87/88):39-62.

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