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The Strathprints institutional repository is a digital archive of University of Strathclyde research outputs.

Strathprints serves world leading Open Access research by the University of Strathclyde, including research by the Strathclyde Institute of Pharmacy and Biomedical Sciences (SIPBS), where research centres such as the Industrial Biotechnology Innovation Centre (IBioIC), the Cancer Research UK Formulation Unit, SeaBioTech and the Centre for Biophotonics are based.

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

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.

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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.