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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
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Working Paper: Finite sample properties of estimators of spatial models with autoregressive, or moving average, disturbances and system feedback (2008)
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