On the Inconsistency of the Ordinary Least Squares Estimator for Spatial Autoregressive Processes

Théophile Thomas Azomahou and Agénor LAHATTE

Working Papers of BETA from Bureau d'Economie Théorique et Appliquée, ULP, Strasbourg

Abstract: This paper investigates the asymptotic properties of the ordinary least squares estimator for spatial autoregressive models. We show that this estimator is biased as well as inconsistent for the parameters regardless of the distribution of the error term. Illustrative examples are also provided.

Keywords: Consistency of OLS estimator; Spatial processes (search for similar items in EconPapers)
JEL-codes: C10 C51 (search for similar items in EconPapers)
Date: 2000
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Persistent link: http://EconPapers.repec.org/RePEc:ulp:sbbeta:2000-12

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