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Measurement errors in a spatial context

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  • Le Gallo, Julie
  • Fingleton, Bernard

Abstract

Measurement error in an independent variable is one reason why OLS estimates may not be consistent. However, as shown by Dagenais (1994), in some circumstances the OLS bias may be ameliorated somewhat given the presence of serially correlated disturbances, and OLS may prove superior to standard techniques used to correct for serial correlation. This paper considers the case of cross-sectional regression models with measurement errors in the explanatory variables and with spatial dependence. The study focuses on the evidence provided by an empirical illustration and Monte Carlo experiments examining measurement error impact in the presence of autoregressive error processes and autoregressive spatial lags.

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Bibliographic Info

Article provided by Elsevier in its journal Regional Science and Urban Economics.

Volume (Year): 42 (2012)
Issue (Month): 1-2 ()
Pages: 114-125

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Handle: RePEc:eee:regeco:v:42:y:2012:i:1:p:114-125

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Related research

Keywords: Measurement error; Spatial autocorrelation; Instrumental variables; GMM; Monte-Carlo simulations;

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References

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  8. Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
  9. Stanislav Stakhovych & Tammo H.A. Bijmolt, 2009. "Specification of spatial models: A simulation study on weights matrices," Papers in Regional Science, Wiley Blackwell, vol. 88(2), pages 389-408, 06.
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  11. Dagenais, Marcel G., 1994. "Parameter estimation in regression models with errors in the variables and autocorrelated disturbances," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 145-163.
  12. Luc Anselin & Nancy Lozano-Gracia, 2008. "Errors in variables and spatial effects in hedonic house price models of ambient air quality," Empirical Economics, Springer, vol. 34(1), pages 5-34, February.
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  15. Bernard Fingleton, 2003. "Increasing returns: evidence from local wage rates in Great Britain," Oxford Economic Papers, Oxford University Press, vol. 55(4), pages 716-739, October.
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