Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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ESTIMATION OF SIMULTANEOUS SYSTEMS OF SPATIALLY INTERRELATED CROSS SECTIONAL EQUATIONS


Category: Econometrics
ESTIMATION I
Sunday 25th August 2002, 09:30 - 11:00, Room: 1.1
Session Chair(s): Rolf Tschernig, University of Maastricht, NETHERLANDS

Presenter(s): Kelejian, Harry H. and Prucha, Ingmar R.

Co-Author(s): none

Keyword(s): Instrumental variable estimation, Simultaneous euqation system, Spatial

JEL(s): C00, C30, C31

Abstract:

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 modeling 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.


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Paper Reference Number: 435

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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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