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CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS

Published online by Cambridge University Press:  16 May 2002

Lung-Fei Lee
Affiliation:
The Ohio State University

Abstract

Least squares estimation has casually been dismissed as an inconsistent estimation method for mixed regressive, spatial autoregressive models with or without spatial correlated disturbances. Although this statement is correct for a wide class of models, we show that, in economic spatial environments where each unit can be influenced aggregately by a significant portion of units in the population, least squares estimators can be consistent. Indeed, they can even be asymptotically efficient relative to some other estimators. Their computations are easier than alternative instrumental variables and maximum likelihood approaches.

Type
Research Article
Copyright
© 2002 Cambridge University Press

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