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

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Author Info

  • Harry H. Kelejian

    ()
    (Department of Economics, University of Maryland)

  • Ingmar R. Prucha

    ()
    (Department of Economics, University of Maryland)

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    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.

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    File URL: http://www.econweb.umd.edu/papers/Kelepruc.pdf
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    Bibliographic Info

    Paper provided by University of Maryland, Department of Economics in its series Electronic Working Papers with number 97-001.

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    Date of creation: Apr 1997
    Date of revision:
    Handle: RePEc:umd:umdeco:97-001

    Contact details of provider:
    Postal: Department of Economics, University of Maryland, Tydings Hall, College Park, MD 20742
    Web page: http://www.econ.umd.edu/

    Order Information:
    Postal: Ms. Elizabeth Martinez, Department of Economics, University of Maryland, Tydings Hall, College Park, MD 20742
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    Related research

    Keywords: Spatial Models; Autocorrelation; Two Stage Least Squares;

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    References

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    1. Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
    2. Blommestein, Hans J., 1983. "Specification and estimation of spatial econometric models : A discussion of alternative strategies for spatial economic modelling," Regional Science and Urban Economics, Elsevier, vol. 13(2), pages 251-270, May.
    3. Anselin, Luc, 1990. "Some robust approaches to testing and estimation in spatial econometrics," Regional Science and Urban Economics, Elsevier, vol. 20(2), pages 141-163, September.
    4. Benedikt M. Pötscher & Ingmar R. Prucha, 1999. "Basic Elements of Asymptotic Theory," Electronic Working Papers 99-001, University of Maryland, Department of Economics.
    5. Dubin, Robin A, 1988. "Estimation of Regression Coefficients in the Presence of Spatially Autocorrelated Error Terms," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 466-74, August.
    6. P Burridge, 1981. "Testing for a common factor in a spatial autoregression model," Environment and Planning A, Pion Ltd, London, vol. 13(7), pages 795-800, July.
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    Citations

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    Cited by:
    1. Raffaella SANTOLINI, 2007. "An Empitical Analysis of Political and Informative Trends on Municipalities of an Italian Region," Working Papers 294, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    2. Anselin, Luc, 2002. "Under the hood : Issues in the specification and interpretation of spatial regression models," Agricultural Economics, Blackwell, vol. 27(3), pages 247-267, November.
    3. Christian Helmers & Manasa Patnam, 2010. "Does the Rotten Child Spoil His Companion? Spatial Peer Effects Among Children in Rural India," CSAE Working Paper Series 2010-13, Centre for the Study of African Economies, University of Oxford.
    4. Claudio A Agostini & Philip Brown & Xiaobo Zhang, 2011. "Neighbor Effects in the Provision of Public Goods in a Young Democracy: Evidence from China," Working Papers wp_008, Adolfo Ibáñez University, School of Government.
    5. Sylvain Barde, 2008. "The spatial structure of French wages : Investigating the robustness of two-stage least squares estimations of spatial autoregressive models," Sciences Po publications 2008-03, Sciences Po.
    6. Liu, Xiaodong & Lee, Lung-fei & Bollinger, Christopher R., 2010. "An efficient GMM estimator of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 159(2), pages 303-319, December.
    7. LE GALLO, Julie, 2000. "Econométrie spatiale 1 -Autocorrélation spatiale," LATEC - Document de travail - Economie (1991-2003) 2000-05, LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne.
    8. repec:spo:wpecon:info:hdl:2441/6159 is not listed on IDEAS
    9. Barbara ERMINI & Raffaella SANTOLINI, 2007. "Horizontal Interaction on Local Councils' Expenditures. Evidence from Italy," Working Papers 278, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    10. Julia Koschinsky & Nancy Lozano-Gracia & Gianfranco Piras, 2012. "The welfare benefit of a home’s location: an empirical comparison of spatial and non-spatial model estimates," Journal of Geographical Systems, Springer, vol. 14(3), pages 319-356, July.
    11. Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2014. "Spatial system estimators for panel models: A sensitivity and simulation study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 101(C), pages 78-102.

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