11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012

Large and Small Sample Propertiesof the MESS Specification

by Nicolas DEBARSY(1), Fei JIN(2) and Lung-Fei LEE(2)

(1)CNRS, LEO - University of Orléans(2)Ohio State University

Discussant : Alain PIROTTE

ERMES (CNRS) and TEPP (CNRS), University of Panthéon-Assas Paris II / Sorbonne University

IFSTTAR-DEST, French Institute of Science and Technology for Transport, Development and Networks

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11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012

SUMMARY

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11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012

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11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012

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11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012

- This paper retains a Cross-Section framework Panel Data framework:

Individual heterogeneity Structureof heteroskedasticity is more complicated, see Baltagi, Bresson and Pirotte (JofE, 2006);

NestedError Components structure (single nested structure Baltagi, Song and Jung (JofE, 2001) and double nested structure Antweiler (JofE, 2001)).

In applied economics often two problems occur: autocorrelated and heteroskedastic disturbances;

Spatial Lag + (SAR + RE disturbances, see Kapoor, Kelejian and Prucha (JofE, 2007)).