TWO ESSAYS ON SPATIAL ECONOMETRICS

The first part of the dissertation is a Monte-Carlo study of the small sampleproperties of various estimators of the parameters of single equation model witha spatially lagged dependent variable and a spatially lagged disturbance term.We focus on the small sample behavior of the maximum likelihood estimator(MLE) and spatial instrumental variable (IV) estimators. These IV estimatorsare feasible spatial two-stage least squares (FGS2SLS) and series estimators whichwere suggested by Kelejian and Prucha (1998, 2001), the best GS2SLS estimatorwhich was suggested by Lee (2000).The findings indicate that the finite sample properties of the IV estimatorsare almost identical. Furthermore, the advantage of the ML estimator over thespatial IV estimators is very limited or nonexistent in most of the cases considered.These results have important implications in terms of e.ciency andcomputational feasibility of these estimators.The second part analyses the importance of alternative channels of contagionduring the Asian, Russian and Brazilian crisis episodes. We consider four contagionchannels relating to the extent of trade, financial links through commonlenders (bank lending channel), similarity in risk, and neighborhood e.ects.In order to assess the significance of each we apply a spatial modeling techniqueto weekly stock market returns of a cross-section of countries. The paperimproves upon previous contagion studies with similar methodology in two aspects.First, the parameters of the model are estimated by a consistent procedure.This clearly leads to more reliable inferences. Second, we use a data set involvinga larger sample of countries. This should alleviate some of the potential sampleselection biases inherent in previous studies.The results indicate that (a) the bank lending channel was important in allthree crisis episodes, (b) the trade channel was relevant in the Russian and Braziliancrisis episodes, but not in the Asian crisis, (c) there is some evidence of therisk similarity channel during the Asian crises, but not in the Russian and Braziliancrises, (d) neighborhood e.ects were important in all three crisis episodes.Furthermore, there is an evidence of negative trade spillovers from Japan duringthe Asian crisis.