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Estimation of Spatial Regression Models with Autoregressive Errors by Two Stage Least Squares Procedures: A Serious Problem

Harry H. Kelejian () and Ingmar Prucha
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Harry H. Kelejian: Department of Economics, University of Maryland, http://econweb.umd.edu/~kelejian/

Electronic Working Papers from University of Maryland, Department of Economics

Abstract: Various two stage least squares procedures have been suggested for the estimation of the autoregressive parameter in the spatial autoregressive model of order one. These procedures are computationally convenient and so their use is "tempting". In this paper we show that these procedures are, in general, not consistent and therefore should not be used.

Keywords: Spatial Models; Autocorrelation; Two Stage Least Squares (search for similar items in EconPapers)
JEL-codes: C13 C21 (search for similar items in EconPapers)
Date: 1997-04
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Journal Article: Estimation of Spatial Regression Models with Autoregressive Errors by Two-Stage Least Squares Procedures: A Serious Problem (1997) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:umd:umdeco:97-001

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