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 journalArticle

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 languageEnglish
Pages (from-to)39-62
Number of pages24
JournalAnnales d'Économie et de Statistique
Issue number87/88
Publication statusPublished - 2007

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Keywords

  • Spatial models
  • Monte Carlo simulation
  • weights matrix

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