scholarly journals Generalized Spatial Two Stage Least Squares Estimation of Spatial Autoregressive Models with Autoregressive Disturbances in the Presence of Endogenous Regressors and Many Instruments

Econometrics ◽  
2013 ◽  
Vol 1 (1) ◽  
pp. 71-114
Author(s):  
Fei Jin ◽  
Lung-fei Lee
Keyword(s):  
Least Squares ◽  
Least Squares Estimation ◽  
Autoregressive Models ◽  
Two Stage ◽  
Endogenous Regressors ◽  
Many Instruments ◽  
Spatial Autoregressive ◽  
Two Stage Least Squares ◽  
Spatial Autoregressive Models

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

2002 ◽  
Vol 18 (2) ◽  
pp. 252-277 ◽  
Author(s):  
Lung-Fei Lee
Keyword(s):  
Maximum Likelihood ◽  
Least Squares ◽  
Instrumental Variables ◽  
Estimation Method ◽  
Least Squares Estimation ◽  
Autoregressive Models ◽  
Least Squares Estimators ◽  
Spatial Autoregressive ◽  
Spatial Autoregressive Models ◽  
Asymptotically Efficient

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.

Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors

1996 ◽  
Vol 12 (2) ◽  
pp. 305-330 ◽  
Author(s):  
Myoung-Jae Lee
Keyword(s):  
Least Squares ◽  
Nuisance Parameter ◽  
Least Squares Estimation ◽  
Simultaneous Equations ◽  
Two Stage ◽  
Infinite Dimensional ◽  
Second Stage ◽  
Endogenous Regressors ◽  
Two Stage Least Squares ◽  
Stage Estimation

Estimation of simultaneous equations with limited (or transformed) endogenous regressors has been difficult in the parametric literature for various reasons. In this paper, we propose a nonparametric two-stage method that is analogous to two-stage least-squares estimation. A simultaneous censored model is used to illustrate our approach, and then its generalization to other cases is developed. The technical highlight is in handling a nondifferentiable second-stage minimand with an infinite-dimensional first-stage nuisance parameter when the first-stage error is not orthogonal to the second.

scholarly journals Model Persamaan Simultan pada Analisis Hubungan Kemiskian dan PDRB

2014 ◽  
Vol 5 (2) ◽  
pp. 810
Author(s):  
Rokhana Dwi Bekti ◽  
David David ◽  
Gita N ◽  
Priscillia Priscillia ◽  
Serlyana Serlyana
Keyword(s):  
Economic Growth ◽  
Least Squares ◽  
Least Squares Estimation ◽  
Two Stage ◽  
Two Stage Least Squares ◽  
Regional Product ◽  
The Relationship ◽  
Simultaneous Model

Simultaneous model is a model for some equation which have simultaneous relationships. It was often found in econometrics, such as the relationship between Gross Domestic Regional Product (GDRP) and poverty. GDP is a common indicator that can be used to determine the economic growth occurred in region. Meanwhile, poverty is one of the indicators to measure the society welfare. Information about these relathionships were important to perform the relathionsips between GDP and poverty. So this research conducted an analysis to obtain simultaneous models between GDRP and poverty. Estimation of the parameters used is Two-Stage Least Squares Estimation (2SLS). The data used are 33 provinces in Indonesia at 2010. By α = 5%, it was conclude that variable which significant effect on GDRP is poverty, export, and import. Meanwhile, the variables that significantly affect poverty are population. The simultaneous model (α = 5%) also conclude that there is no simultaneous relationship between GDRP and poverty. However, with α = 25%, there is a simultaneous relationship between GDRP and poverty.

scholarly journals Two-step two-stage least squares estimation in models with rational expectations

1983 ◽  
Vol 21 (3) ◽  
pp. 333-355 ◽  
Author(s):  
Robert E. Cumby ◽  
John Huizinga ◽  
Maurice Obstfeld
Keyword(s):  
Least Squares ◽  
Rational Expectations ◽  
Least Squares Estimation ◽  
Two Stage ◽  
Two Stage Least Squares
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