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)
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.
|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|
|Depositing user:||Professor Bernard Fingleton|
|Date Deposited:||02 Aug 2011 09:09|
|Last modified:||13 Jul 2016 00:03|