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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.