Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study
Most of the literature on spatial econometrics is primarily concerned with explaining continuous variables, while a variety of problems concern by their nature binary dependent variables. The goal of this paper is to provide a cohesive description and a critical comparison of the main estimators proposed in the literature for spatial binary choice models. The properties of such estimators are investigated using a theoretical and simulation study. To the authors’ knowledge, this is the first paper that provides a comprehensive Monte Carlo study of the estimators’ properties. This simulation study shows that the Gibbs estimator (LeSage 2000) performs best for low spatial autocorrelation, while the Recursive Importance Sampler (Beron and Vijverberg 2004) performs best for high spatial autocorrelation. The same results are obtained by increasing the sample size. Finally, the linearized General Method of Moments estimator (Klier and McMillen 2008) is the fastest algorithm that provides accurate estimates for low spatial autocorrelation and large sample size.
|Date of creation:||05 Jun 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Arts Annexe, Belfield, Dublin 4|
Phone: +353 1 7164615
Fax: +353 1 7161108
Web page: http://www.ucd.ie/geary/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993.
"Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models,"
Journal of Econometrics,
Elsevier, vol. 58(3), pages 347-368, August.
- Vassilis A. Hajivassiliou & Axel Borsch-Supan, 1990. "Smooth Unbiased Multivariate Probability Simulators for Maximum Likelihood Estimation of Limited Dependent Variable Models," Cowles Foundation Discussion Papers 960, Cowles Foundation for Research in Economics, Yale University.
- Denis Bolduc & Bernard Fortin & Stephen Gordon, 1997.
"Multinomial Probit Estimation of Spatially Interdependent Choices: An Empirical Comparison of Two New Techniques,"
International Regional Science Review,
SAGE Publishing, vol. 20(1-2), pages 77-101, April.
- BOLDUC, Denis & FORTIN, Bernard & GORDON, Stephen, 1995. "Multinomial Probit Estimation of Spatially Interdependent Choices: an Empirical Comparison of Two New Techniques," Cahiers de recherche 9508, Université Laval - Département d'économique.
- Bolduc, D. & Fortin, B. & Gordon, S., 1995. "Multinomial Probit Estimation of Spatially Interdependent Choices: An Empirical Comparison of Two New Techniques," Papers 9508, Laval - Recherche en Politique Economique.
- Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307.
- Olivier Parent & James Lesage, 2005.
"Bayesian Model Averaging for Spatial Econometric Models,"
- Olivier Parent & James P. Lesage, 2007. "Bayesian Model Averaging for Spatial Econometric Models ," University of Cincinnati, Economics Working Papers Series 2007-02, University of Cincinnati, Department of Economics.
- Marco Bee & Giuseppe Espa, 2008.
"A Monte Carlo EM algorithm for the estimation of a logistic auto-logistic model with missing data,"
Letters in Spatial and Resource Sciences,
Springer, vol. 1(1), pages 45-54, July.
- Marco Bee & Giuseppe Espa, 2008. "A Monte Carlo EM Algorithm for the Estimation of a Logistic Auto-logistic Model with Missing Data," Department of Economics Working Papers 0801, Department of Economics, University of Trento, Italia.
- Jan K. Brueckner, 2003. "Strategic Interaction Among Governments: An Overview of Empirical Studies," International Regional Science Review, SAGE Publishing, vol. 26(2), pages 175-188, April.
- Chesher, Andrew & Irish, Margaret, 1987. "Residual analysis in the grouped and censored normal linear model," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 33-61.
- Alfonso Flores‐Lagunes & Kurt Erik Schnier, 2012. "Estimation of sample selection models with spatial dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(2), pages 173-204, 03.
- Pinkse, Joris & Slade, Margaret E., 1998. "Contracting in space: An application of spatial statistics to discrete-choice models," Journal of Econometrics, Elsevier, vol. 85(1), pages 125-154, July.
- Klier, Thomas & McMillen, Daniel P, 2008. "Clustering of Auto Supplier Plants in the United States," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 460-471.
When requesting a correction, please mention this item's handle: RePEc:ucd:wpaper:201215. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Geary Tech)
If references are entirely missing, you can add them using this form.