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Estimation of Multiequation Cross-section Models in the Presence of Spatial Autocorrelation

Author

Listed:
  • Alexandre Carvalho
  • Daniel da Mata
  • Kenneth M. Chomitz

Abstract

We describe econometric techniques to treat spatial autocorrelation in multiequation cross-section models. The cross-section approaches discussed here are heavily based on the spatial GMM procedure, proposed by Conley (1999). An extension for fullinformation instrumental variable models is presented. Monte Carlo simulations are employed in order to verify some asymptotic properties of the Spatial GMM approach. The simulations suggest that, even in the presence of spatial nonstationarity, the spatial GMM still delivers valid standard errors. Besides, usual t-statistics appear to have a standard normal distribution. An application for estimating labor and wage equations to study regional growth and development of the Brazilian municipalities, between 1991 and 2000, is presented. Neste artigo, nós descrevemos técnicas econométricas para tratar autocorrelação espacial em modelos multiequacionais, com dados em cross-section. Os procedimentos abordados aqui se baseiam no método de momentos generalizados espacial (GMM espacial) proposto em Conley (1999). Uma extensão para estimação com variáveis instrumentais com informação plena é apresentada. Nós empregamos simulações de Monte Carlo para verificar as propriedades assintóticas dos estimadores descritos. As simulações sugerem que, mesmo na presença de heterogeneidade espacial, o GMM espacial apresenta erros padrões apropriados. Além disso, estatísticas t usuais parecem seguir a distribuição normal padronizada. Finalmente, nós apresentamos uma aplicação, em que são estimadas equações de salário para estudar crescimento e desenvolvimento regional nos municípios brasileiros, entre 1991 e 2000.

Suggested Citation

  • Alexandre Carvalho & Daniel da Mata & Kenneth M. Chomitz, 2015. "Estimation of Multiequation Cross-section Models in the Presence of Spatial Autocorrelation," Discussion Papers 0154, Instituto de Pesquisa Econômica Aplicada - IPEA.
  • Handle: RePEc:ipe:ipetds:0154
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    References listed on IDEAS

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    1. repec:sbe:breart:v:16:y:1996:i:1:a:2881 is not listed on IDEAS
    2. Kathleen P. Bell & Nancy E. Bockstael, 2000. "Applying the Generalized-Moments Estimation Approach to Spatial Problems Involving Microlevel Data," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 72-82, February.
    3. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    4. Kelejian, Harry H. & Prucha, Ingmar R., 2004. "Estimation of simultaneous systems of spatially interrelated cross sectional equations," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 27-50.
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    6. Frees, Edward W., 1995. "Assessing cross-sectional correlation in panel data," Journal of Econometrics, Elsevier, vol. 69(2), pages 393-414, October.
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    8. Baicker, Katherine, 2005. "The spillover effects of state spending," Journal of Public Economics, Elsevier, vol. 89(2-3), pages 529-544, February.
    9. Ferreira, Afonso Henriques Borges & Diniz, ClŽlio Campolina, 1995. "Converg ncia entre as rendas per capita estaduais no brasil," Brazilian Journal of Political Economy, Brazilian Journal of Political Economy (Brazil), vol. 15(4), Octuber-D.
    10. Ferreira, Pedro Cavalcanti Gomes & Jr., Roberto de Goes Ellery, 1996. "Convergência Entre a Renda Per-Capita dos Estados Brasileiros," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 16(1), November.
    11. Alexandre Manoel Angelo da Silva & Guilherme Mendes Resende, 2006. "Crescimento Econômico Comparado dos Municípios Alagoanos e Mineiros: Uma Análise Espacial," Discussion Papers 1162, Instituto de Pesquisa Econômica Aplicada - IPEA.
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    1. repec:bla:ijurrs:v:41:y:2017:i:6:p:997-1009 is not listed on IDEAS
    2. Alexandre Carvalho & Daniel da Mata & Kenneth M. Chomitz & João Carlos Magalhães, 2005. "Spatial Dynamics of Labor Markets in Brazil," Discussion Papers 1110, Instituto de Pesquisa Econômica Aplicada - IPEA.
    3. Alessandra Faggian & Mark Partridge & Edward J. Malecki, 2017. "Creating an Environment for Economic Growth: Creativity, Entrepreneurship or Human Capital?," International Journal of Urban and Regional Research, Wiley Blackwell, vol. 41(6), pages 997-1009, November.

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