EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects

被引：32

作者：

Baltagi, Badi H. ^{[1
,2
,3
]}

Deng, Ying ^{[4
]}

机构：

[1] Syracuse Univ, Dept Econ, Syracuse, NY 13244 USA

[2] Syracuse Univ, Ctr Policy Res, Syracuse, NY 13244 USA

[3] Univ Leicester, Dept Econ, Leicester, Leics, England

[4] Univ Int Business & Econ, Sch Int Trade & Econ, Beijing, Peoples R China

来源：

ECONOMETRIC REVIEWS | 2015年 / 34卷 / 6-10期

关键词：

C13; C33; Error components; Simultaneous equations; Three-stage least squares; Panel data; Spatial model; FINITE-SAMPLE PROPERTIES; MODEL;

D O I：

10.1080/07474938.2014.956030

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article derives a 3SLS estimator for a simultaneous system of spatial autoregressive equations with random effects which can therefore handle endoegeneity, spatial lag dependence, heterogeneity as well as cross equation correlation. This is done by utilizing the Kelejian and Prucha (1998) and Lee (2003) type instruments from the cross-section spatial autoregressive literature and marrying them to the error components 3SLS estimator derived by Baltagi (1981) for a system of simultaneous panel data equations. Our Monte Carlo experiments indicate that, for the single equation spatial error components 2SLS estimators, there is a slight gain in efficiency when Lee (2003) type rather than Kelejian and Prucha (1998) instruments are used. However, there is not much difference in efficiency between these instruments for spatial error components 3SLS estimators.

引用

页码：658 / 693

页数：36

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