Estimation of simultaneous systems of spatially interrelated cross sectional equations

被引：209

作者：

Kelejian, HH ^{[1
]}

Prucha, IR ^{[1
]}

机构：

[1] Univ Maryland, Dept Econ, College Pk, MD 20742 USA

来源：

JOURNAL OF ECONOMETRICS | 2004年 / 118卷 / 1-2期

基金：

美国国家科学基金会;

关键词：

spatial dependence; simultaneous equation system; two-stage least squares; three-stage least squares; generalized moments estimation;

D O I：

10.1016/S0304-4076(03)00133-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we consider a simultaneous system of spatially interrelated cross sectional equations. Our specification incorporates spatial lags in the endogenous and exogenous variables. In modelling the disturbance process we allow for both spatial correlation as well as correlation across equations. The data set is taken to be a single cross section of observations. The model may be viewed as an extension of the widely used single equation Cliff-Ord model. We suggest computationally simple limited and full information instrumental variable estimators for the parameters of the system and give formal large sample results. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：27 / 50

页数：24

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