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.

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Year of publication:	1997-04
Authors:	Kelejian, Harry H. ; Prucha, Ingmar R.
Institutions:	University of Maryland, Department of Economics
Subject:	Spatial Models \| Autocorrelation \| Two Stage Least Squares

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Extent:	application/pdf
Series:	Electronic Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C13 - Estimation ; C21 - Cross-Sectional Models; Spatial Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005582238