Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study

Raffaella Calabrese () and Johan A. Elkink
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Johan A. Elkink: University College Dublin

Working Papers from Geary Institute, University College Dublin

Abstract: Most of the literature on spatial econometrics is primarily concerned with explaining continuous variables, while a variety of problems concern by their nature binary dependent variables. The goal of this paper is to provide a cohesive description and a critical comparison of the main estimators proposed in the literature for spatial binary choice models. The properties of such estimators are investigated using a theoretical and simulation study. To the authors’ knowledge, this is the first paper that provides a comprehensive Monte Carlo study of the estimators’ properties. This simulation study shows that the Gibbs estimator (LeSage 2000) performs best for low spatial autocorrelation, while the Recursive Importance Sampler (Beron and Vijverberg 2004) performs best for high spatial autocorrelation. The same results are obtained by increasing the sample size. Finally, the linearized General Method of Moments estimator (Klier and McMillen 2008) is the fastest algorithm that provides accurate estimates for low spatial autocorrelation and large sample size.

Pages: 22 pages
Date: 2012-06-05
New Economics Papers: this item is included in nep-ecm and nep-ure
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: ESTIMATORS OF BINARY SPATIAL AUTOREGRESSIVE MODELS: A MONTE CARLO STUDY (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:201215

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