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Re: AI-GEOSTATS: spatial error model question

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  • 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 1 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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