Estimation of Spatial Regression Models with Autoregressive Errors by Two Stage Least Squares Procedures: A Serious Problem
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.
|Date of creation:||Apr 1997|
|Date of revision:|
|Contact details of provider:|| Postal: |
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|
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.:
- Benedikt M. Pötscher & Ingmar R. Prucha, 1999. "Basic Elements of Asymptotic Theory," Electronic Working Papers 99-001, University of Maryland, Department of Economics.
- Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
- Herman J. Bierens & A. R. Gallant (ed.), 1997. "Nonlinear Models," Books, Edward Elgar, volume 0, number 878, 10.
- 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.
- 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.
- 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.
- 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.
- P Burridge, 1981. "Testing for a Common Factor in a Spatial Autoregression Model," Environment and Planning A, , vol. 13(7), pages 795-800, July.
When requesting a correction, please mention this item's handle: RePEc:umd:umdeco:97-001. 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: (Peter Murrell)
If references are entirely missing, you can add them using this form.