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

B. Fingleton; J. Le Gallo

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

B. Fingleton, J. Le Gallo

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	39-62
Number of pages	24
Journal	Annales d'Économie et de Statistique
Issue number	87/88
Publication status	Published - 2007

Keywords

Spatial models
Monte Carlo simulation
weights matrix

Cite this

@article{e2c65871f9cc4c8d9c530646d9d51532,

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

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.",

keywords = "Spatial models, Monte Carlo simulation, weights matrix",

author = "B. Fingleton and {Le Gallo}, J.",

year = "2007",

language = "English",

pages = "39--62",

journal = "Annales d'{\'E}conomie et de Statistique",

issn = "0769-489X",

number = "87/88",

}

TY - JOUR

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

AU - Fingleton, B.

AU - Le Gallo, J.

PY - 2007

Y1 - 2007

N2 - 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.

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

UR - http://www.mendeley.com/research/finite-sample-properties-estimators-spatial-models-autoregressive-moving-average-disturbances-system-feedback/

M3 - Article

SP - 39

EP - 62

JO - Annales d'Économie et de Statistique

JF - Annales d'Économie et de Statistique

SN - 0769-489X

IS - 87/88

ER -

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

Abstract

Keywords

Other files and links

Fingerprint

Cite this