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Endogeneité et autocorrélation spatiale : quelle utilité pour le modèle de Durbin ?

Listed author(s):
  • Fingleton, Bernard
  • Le Gallo, Julie

Cet article s’intéresse au problème de l’endogénéité dans un cadre spatial. Nous analysons le cas où l’endogénéité provient d’une variable omise spatialement autocorrélée. Nous montrons, de façon théorique et à l’aide de simulations de Monte-Carlo, qu’une façon de réduire le biais de variable omise consiste à estimer un modèle de DURBIN spatial, qui est un modèle dans lequel figurent à la fois une variable endogène spatiale décalée ainsi que les décalages spatiaux des variables exogènes. Les simulations soulignent également que le biais et la RMSE des estimateurs obtenus sur la base de ce modèle restent relativement faibles dans les cas de quasi non-stationnarité.

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Article provided by Editions NecPlus in its journal Revue d'économie régionale et urbaine.

Volume (Year): 2012 (2012)
Issue (Month): 01 (July)
Pages: 3-17

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Handle: RePEc:nec:rerurb:v:2012:y:2012:i:01:p:3-17_00
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