EconPapers    
Economics at your fingertips  
 

Finite Sample Properties of Estimators of Spatial Models with Autoregressive, or Moving Average, Disturbances and System Feedback

Bernard Fingleton () and Julie Le Gallo ()

Annals of Economics and Statistics, 2007, issue 87-88, 39-62

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.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.jstor.org/stable/27650041 (text/html)

Related works:
Working Paper: Finite sample properties of estimators of spatial models with autoregressive, or moving average, disturbances and system feedback (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2007:i:87-88:p:39-62

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().

 
Page updated 2021-05-30
Handle: RePEc:adr:anecst:y:2007:i:87-88:p:39-62