Fingleton, B. and 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). pp. 39-62.
Full text not available in this repository. (Request a copy from the Strathclyde author)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.
| Item type: | Article |
|---|---|
| ID code: | 28039 |
| Keywords: | Spatial models, Monte Carlo simulation, weights matrix, Regional economics. Space in economics |
| Subjects: | Social Sciences > Communities. Classes. Races > Regional economics. Space in economics |
| Department: | Strathclyde Business School > Economics |
| Related URLs: | |
| Depositing user: | Professor Bernard Fingleton |
| Date Deposited: | 02 Aug 2011 10:09 |
| Last modified: | 12 Mar 2012 11:20 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/28039 |
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