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

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    1. Benedikt M. Pötscher & Ingmar R. Prucha, 1999. "Basic Elements of Asymptotic Theory," Electronic Working Papers 99-001, University of Maryland, Department of Economics.
    2. Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
    3. Herman J. Bierens & A. R. Gallant (ed.), 1997. "Nonlinear Models," Books, Edward Elgar, volume 0, number 878, 10.
    4. 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.
    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. 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.
    7. 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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