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AI-GEOSTATS: spatial error model question

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  • Anil Rupasingha
    I have a question on the estimates of an spatial error model (SEM). The parameters in the OLS with the presence of spatial dependence in the error term will
    Message 1 of 2 , Jun 25, 2002
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      I have a question on the estimates of an spatial error model (SEM). The
      parameters in the OLS with the presence of spatial dependence in the error
      term will still be unbiased but inefficient. Does this mean that
      parameters of the SEM model and the OLS should be numerically identical? Or
      is this an asymptotic property? Thanks for any replies.
      Anil


      [Non-text portions of this message have been removed]
    • Roger Bivand
      ... Certainly not numerically identical. The standard errors will be biased if the error autoregressive parameter is different from zero. The coefficients will
      Message 2 of 2 , Jun 26, 2002
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        On Tue, 25 Jun 2002, Anil Rupasingha wrote:

        > I have a question on the estimates of an spatial error model (SEM). The
        > parameters in the OLS with the presence of spatial dependence in the error
        > term will still be unbiased but inefficient. Does this mean that
        > parameters of the SEM model and the OLS should be numerically identical? Or
        > is this an asymptotic property? Thanks for any replies.

        Certainly not numerically identical. The standard errors will be biased if
        the error autoregressive parameter is different from zero. The
        coefficients will be unbiased only if the spatial autocorrelation of the
        variables in the model is fully accounted for in the error process, as far
        as I recall. If you are not in a tightly controlled experimental setting,
        there will usually be some spatial dependence which is not accounted for,
        leading to bias in the coefficient estimates too.

        Roger

        --
        Roger Bivand
        Economic Geography Section, Department of Economics, Norwegian School of
        Economics and Business Administration, Breiviksveien 40, N-5045 Bergen,
        Norway. voice: +47 55 95 93 55; fax +47 55 95 93 93
        e-mail: Roger.Bivand@...
        and: Department of Geography and Regional Development, University of
        Gdansk, al. Mar. J. Pilsudskiego 46, PL-81 378 Gdynia, Poland.


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