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 |
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Keywords
- Spatial models
- Monte Carlo simulation
- weights matrix
Cite this
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, (87/88), 39-62.