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Estimating spatial models with endogenous variables, a spatial lag and spatially dependent distrurbances: Finite sample properties

Fingleton, B. and Le Gallo, J. (2008) Estimating spatial models with endogenous variables, a spatial lag and spatially dependent distrurbances: Finite sample properties. Papers in Regional Science, 87 (3). pp. 319-339. ISSN 1056-8190

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Abstract

This paper discusses estimation methods for models including an endogenous spatial lag, additional endogenous variables due to system feedback and an autoregressive or a moving average error process. It extends Kelejian and Prucha's, and Fingleton and Le Gallo's feasible generalized spatial two-stage least squares estimators and also considers HAC estimation in a spatial framework as suggested by Kelejian and Prucha. An empirical example using real estate data illustrating the different estimators is proposed. The finite sample properties of the estimators are finally investigated by means of Monte Carlo simulation.

Item type: Article
ID code: 15296
Keywords: Spatial models, system feedback, two-stage least squares, generalized moments, estimation, HAC estimator, Economic Theory, Environmental Science (miscellaneous), Geography, Planning and Development
Subjects: Social Sciences > Economic Theory
Department: Strathclyde Business School > Economics
Related URLs:
Depositing user: Mrs Kirsty Fontanella
Date Deposited: 04 Feb 2010 20:25
Last modified: 04 Sep 2014 22:53
URI: http://strathprints.strath.ac.uk/id/eprint/15296

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