WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 19, 2020
Multivariate General Spatial Three-Stage Least Squares Fixed Effect Panel Simultaneous Models and Estimation of Their Parameters
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Abstract: Simultaneous equation models describe a two-way flow of influence among variables. Simultaneous equation models using panel data, especially for fixed effect where there are spatial autoregressive and spatial errors with exact solutions, still require to be developed. In this paper, we develop the new models that it consist of spatial autoregressive and spatial errors. We call it as general spatial. This paper proposes feasible generalized least squares-three-stage least squares (FGLS-3SLS) to find all the estimators with exact solution and the numerical approximation estimators by concentrated log-likelihood formulation with method of forming sequence. All proposed estimators especially for closed-form estimators are proved to be consistent.
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Keywords: spatial autoregressive, spatial error, general spatial, FGLS-3SLS, concentrated log-likelihood, consistent
Pages: 373-383
DOI: 10.37394/23206.2020.19.38