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Autocorrélation Spatiale Des Erreurs Et Erreurs De Mesure : Quelles Interactions ?

Author

Listed:
  • Julie LE GALLO

    (CRESE, Université de Franche-Comté)

  • Jan MUTL

    (EBS Business School, Allemagne)

Abstract

Dans cet article, nous dérivons les distributions asymptotiques de l’estimateur des Moindres Carrés Ordinaires (MCO) et de l’estimateur des Moindres Carrés Généralisés (MCG) dans un modèle comportant une autocorrélation spatiale des erreurs et une erreur de mesure affectant la variable explicative. Nous spécifions analytiquement la forme du biais asymptotique relatif et de l’efficience asymptotique relative entre les deux estimateurs compte tenu de la structure du modèle. Ceci nous permet de montrer que la présence simultanée de l’autocorrélation spatiale et d’une erreur de mesure sur la variable explicative conduit à un arbitrage entre le biais et la variance. Une estimation par les MCG permet de réduire le biais mais de façon très limitée. Cependant, il existe de nombreuses combinaisons de paramètres pour lesquelles cette réduction du biais se fait au détriment d’une perte d’efficience.

Suggested Citation

  • Julie LE GALLO & Jan MUTL, 2014. "Autocorrélation Spatiale Des Erreurs Et Erreurs De Mesure : Quelles Interactions ?," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 40, pages 37-52.
    • Handle: RePEc:tou:journl:v:40:y:2014:p:37-52
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    More about this item

    Keywords

    AUTOCORRÉLATION SPATIALE; ERREURS DE MESURE; PROPRIÉTÉS ASYMPTOTIQUES;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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